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Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?

Małgorzata Just and Krzysztof Echaust

Economics Letters, 2022, vol. 217, issue C

Abstract: This paper applies the dynamic Diebold–Yilmaz and Baruník–Křehlík spillover indices to document a closer integration between agricultural commodity markets in the period when markets rebounded after the COVID-19 threat to the Russia–Ukraine​ war. We also identified the record return spillover transmission among agricultural commodities during a time of conflict and the strongest transmitters are wheat, maize and barley. The findings emphasise an increasing uncertainty to the global food market.

Keywords: COVID-19; Russia–Ukraine war; Agricultural commodity; Spillover index (search for similar items in EconPapers)
JEL-codes: C32 Q02 Q13 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.econlet.2022.110671

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