Do oil prices and exchange rates account for agricultural commodity market spillovers? Evidence from the Diebold and Yilmaz Index

Mehmet Balcilar and Festus Victor Bekun

Agrekon, 2020, vol. 59, issue 3

Abstract: This paper examines the nature of interconnectedness between the returns of the price of oil and foreign exchange on selected agricultural commodity prices. To do this, the authors leverage the novel methodology of a spillover index developed by Diebold and Yilmaz (2012) that reports predictive directional measurement of volatility spillovers. International Journal of Forecasting 28, no. 1: 57–66) that reports: (i) Net spillovers; (ii) Directional spillovers; (iii) Pairwise net spillovers; and (iv) Total spillover indices. This study also captures all secular and cyclical movements with the aid of rolling window analysis to ensure the robustness of the estimations. Empirical analyses are constructed based on monthly realised frequency data from 2006M1 to 2016M7. The empirical analysis from the full sample size shows that rice, sorghum, price inflation, a nominal effective exchange rate and oil price display weak pass-through among the investigated variables while banana, cocoa, groundnut, maize, soybean and wheat are net transmitters of spillover. Based on these revelations, several policy prescriptions for the agricultural commodity markets and their diverse responses to either exchange rate fluctuations or a dwindling oil price are suggested for Nigeria.

Keywords: Agribusiness; International Relations/Trade (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/347987/files/D ... 20Yilmaz%20Index.pdf (application/pdf)

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:ags:agreko:347987

DOI: 10.22004/ag.econ.347987

Access Statistics for this article

More articles in Agrekon from Agricultural Economics Association of South Africa (AEASA) Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().