Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict

Noureddine Benlagha () and Wafa Abdelmalek ()
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Noureddine Benlagha: Qatar University
Wafa Abdelmalek: Sfax University

Eurasian Economic Review, 2024, vol. 14, issue 3, No 10, 825 pages

Abstract: Abstract This paper investigates the interconnectedness patterns between agricultural commodities, crude oil, and ethanol, along with their determinants before and during the COVID-19 pandemic and the Russia–Ukraine conflict. We employ a time-varying parameter vector autoregression model to analyze interconnected behaviors among energy and agricultural commodities. Additionally, quantile regression is used to assess the impact of financial and economic fundamentals on transmission mechanisms in commodity markets. The empirical findings reveal time-varying and crisis-responsive linkages between energy and agricultural commodities, particularly during the COVID-19 pandemic and Russia–Ukraine conflict. Furthermore, economic and financial market uncertainties emerge as significant determinants of the interconnectedness between these commodity groups.

Keywords: Connectedness; Agricultural commodity; Oil and ethanol; COVID-19 pandemic; Russia–Ukraine conflict (search for similar items in EconPapers)
JEL-codes: C33 C58 F36 G15 Q40 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s40822-024-00279-7

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