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Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain

Muhammad Abubakr Naeem, Sitara Karim, Mudassar Hasan, Brian Lucey and Sang Hoon Kang

Energy Economics, 2022, vol. 112, issue C

Abstract: Oil shocks demonstrate an effective economic event in the face of several unprecedented financial challenges. The current study endeavors to investigate the nexus between oil shocks and agriculture commodities with portfolio implications. Building on the novel techniques of time- and frequency spillovers and portfolio analysis, we unlocked the potential connectedness networks as well as diversification and trading strategies for investors and portfolio managers. Our findings document strong intra and weaker inter-connectedness between oil shocks and agriculture commodities with greater time-varying spillovers in the short- and long-run. We framed valuable intuitions for policymakers, macro-prudential authorities, investors, and portfolio managers.

Keywords: Oil shocks; Agriculture commodities; GFC; SOR; COVID-19 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.eneco.2022.106148

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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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