 Tail dependence risk and spillovers between oil and food pricesWaqas Hanif, Jose Areola Hernandez, Syed Jawad Hussain Shahzad and Seong-Min Yoon The Quarterly Review of Economics and Finance, 2021, vol. 80, issue C, 195-209 Abstract: We examine the nonlinear dependence dynamics and downside and upside risk spillovers between oil prices and world food prices captured by a world food price index and its subcategories of dairy, cereals, vegetable oil, and sugar. We draw our empirical results using static and dynamic bivariate copulas, Value-at-Risk (VaR) and conditional VaR (CoVaR) methods. Our empirical findings reveal that oil prices and aggregate food prices, as measured by the world food price index, independently move during market upturns and downturns. However, lower and upper tail dependence is observed between oil prices and cereals, vegetable oil, and sugar prices. We also identify upside and downside asymmetric risk spillovers from individual food commodities to oil and from oil to food commodities. Oil prices most strongly affect sugar and vegetable oil prices (downside and upside) whereas oil prices are most strongly impacted in the downside and upside by vegetable oil and sugar prices, respectively. The implications of the results are discussed. Keywords: World food prices; Oil prices; Tail dependence; Spillovers; CoVaR (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:80:y:2021:i:c:p:195-209 DOI: 10.1016/j.qref.2021.01.019 Access Statistics for this article The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty More articles in The Quarterly Review of Economics and Finance from Elsevier |
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