Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change

Yan-Hong Yang, Ying-Hui Shao and Wei-Xing Zhou

Finance Research Letters, 2025, vol. 71, issue C

Abstract: In this paper, we examine the contemporaneous and lagged spillovers among the agricultural, crude oil, carbon emission allowance, and climate change markets. Adopting the R2 decomposed connectedness approach, our empirical analysis reveals several key findings. First, the overall total connectedness index (TCI) dynamics have been mainly dominated by contemporaneous effects. Second, there are heterogeneous spillover effects among agricultural markets. Specially, corn, soybean meal, and wheat are the major risk transmitters to this system, while barley, cocoa, and lean hog are the main risk receivers of shocks. Third, we also find that climate change has significant spillovers to other markets.

Keywords: Dynamic connectedness; Agricultural commodities; Crude oil; Carbon emission allowance; Climate change; R2 decomposition (search for similar items in EconPapers)
Date: 2025
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Working Paper: Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:71:y:2025:i:c:s154461232401403x

DOI: 10.1016/j.frl.2024.106374

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