Importance of geopolitical risk in volatility structure: New evidence from biofuels, crude oil, and grains commodity markets

Renata Karkowska and Szczepan Urjasz

Journal of Commodity Markets, 2024, vol. 36, issue C

Abstract: This paper aims to explore the complex linkages and evolving structure of price volatility in the global oil, biofuels, and grain commodity markets during periods of global turbulence. With the growing urgency for energy stability amid climate change, biofuels are gaining traction as a viable alternative energy source. However, their production can significantly impact essential commodities like grains and vegetable oils, increasing food prices and heightened market volatility. We introduced a TVP-VAR frequency connectedness method to address this, analyzing data from January 1, 2013, to September 29, 2023. Our approach offers a fresh perspective on market dynamics and geopolitical risks.

Keywords: Biofuels; Frequency connectedness; Volatility spillover; Russia-Ukraine war; TVP-VAR (search for similar items in EconPapers)
JEL-codes: G14 G15 G18 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:36:y:2024:i:c:s240585132400059x

DOI: 10.1016/j.jcomm.2024.100440

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