Measuring dynamic spillovers between crude oil and grain commodity markets: A comparative analysis of demand and supply shocks

Guohua Ni, Houda HADJ Cherif and Zhenling Chen

Finance Research Letters, 2024, vol. 67, issue PA

Abstract: This study explores spillover effects between oil and grain markets in response to supply- and demand-side shocks using the TVP-VAR-DY approach. Spillover effects among markets are enhanced under both demand and supply shocks. Wheat consistently acts as the transmitter of shocks for both types of events. Furthermore, corn is transmitter of spillovers to other markets. In contrast, soybeans receive spillovers during supply-side shocks and transmit them during demand-side shocks. Oil initially transmits shocks to other markets during demand-side events, but transitions to a receiver role as demand diminishes and supply-side crises emerge. Measures should be taken to reduce market risks when major events occur.

Keywords: Oil market; Grain market; Spillover effect; TVP-VAR-DY model; Supply and demand shocks (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007785

DOI: 10.1016/j.frl.2024.105748

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