Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak

Ngo Thai Hung

Resources Policy, 2021, vol. 73, issue C

Abstract: This paper represents an analysis of the spillover effects and time-frequency connectedness between crude oil prices and agricultural commodity markets using both the spillover index of Diebold and Yilmaz (2012) and the wavelet coherence model to evaluate whether the time-varying return spillover index exhibited the intensity and direction of transmission during the Covid-19 outbreak. Overall, the current results shed light on that in comparison with the pre-Covid-19 period, and the return spillover is more apparent during the Covid-19 crisis. However, levels of the intensity of this relationship vary through the period of research, with several intervals witnessing both negative and positive interactions. Further, our findings indicate significant heterogeneity among agriculture commodity markets in the degree of spillover to crude oil prices over time, amplifying our understanding of the economic channels through which the agriculture commodity markets are correlated. More importantly, there exist significant dependent patterns about the information spillovers across the crude oil and agriculture commodity markets might provide prominent implications for portfolio managers, investors, and government agencies.

Keywords: COVID-19; Agricultural commodity; Crude oil; Wavelet coherence; Spillover index; JEL Clarifications: C11; C52; Q41 (search for similar items in EconPapers)
JEL-codes: C11 C52 Q41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (66)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420721002476
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002476

DOI: 10.1016/j.resourpol.2021.102236

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().