Exploring dynamic extreme dependence of oil and agricultural markets

Khalid M. Kisswani, Amine Lahiani and Mahelet G. Fikru

International Review of Economics & Finance, 2025, vol. 99, issue C

Abstract: This study examines the dynamic extreme dependence between oil markets and a set of non-exploited agricultural assets (Barley, coffee, maize, rice, sorghum, sugar, wheat) prices using 1990–2023 monthly prices data. Our time-varying copula models allow us to investigate nonlinear and asymmetric dependence between pairwise assets. We find evidence of positive exceedance correlation at small and medium quantiles/thresholds and negative exceedance correlation for quantiles higher than 0.6 for five out of seven food assets. Findings also indicate a tent-shaped quantile dependence for all food assets and demonstrate a time variation in the association path between oil and food asset returns. Important policy implications are derived from empirical findings.

Keywords: Oil price; Food price; Copula; Co-movement (search for similar items in EconPapers)
JEL-codes: C2 E30 Q02 Q41 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001959

DOI: 10.1016/j.iref.2025.104032

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