Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?
Małgorzata Just and
Economics Letters, 2022, vol. 217, issue C
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:217:y:2022:i:c:s0165176522002245
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