Time-varying relationship between geopolitical uncertainty and agricultural investment

Rabin K. Jana and Indranil Ghosh

Finance Research Letters, 2023, vol. 52, issue C

Abstract: This paper explores the relationship between Geopolitical Uncertainty (GPU) and agricultural investment. We apply wavelet-based techniques to capture the relationship at different time dimensions and explore the causal structure between the GPU and select indices from the agricultural market of the USA. We find that the GPU influences investment in agricultural spot markets in the medium run. The futures market investment is less susceptible to GPU than the spot counterparts. A clear shift in interplay is visible during the COVID-19 pandemic and the ongoing Russia-Ukraine conflict. The results can offer diversification benefits and mitigate risk in distress and volatile periods.

Keywords: Geopolitical uncertainty; Agricultural investment; Wavelet coherence; Wavelet causality (search for similar items in EconPapers)
JEL-codes: C58 G15 G41 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006973

DOI: 10.1016/j.frl.2022.103521

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