Risk contagions between global oil markets and China’s agricultural commodity markets under structural breaks

Jiawen Luo and Qun Zhang

Applied Economics, 2021, vol. 53, issue 5, 628-649

Abstract: This article investigates the linear and non-linear dependence structures of risk contagions between global crude oil futures markets and China’s agricultural futures markets based on a regime switching skew-normal (RSSN) model. We examine the oil-agriculture relationships and identify the contagion channels under the calm and turbulent oil market conditions. The directions of contagions are further identified with the directed acyclic graph (DAG) from the linear non-Gaussian acyclic models algorithm. The empirical results of contagions tests show the significance of correlation and covariance contagions across the oil and agriculture futures returns, especially under the turbulent oil market condition. The breaks in the variances through the moment-based break tests are found to be most significant, followed by the mean and skewness breaks. In addition, the DAG results support the volatility contagions from world oil future markets to China’s agricultural commodity futures markets. Our empirical results have important policy implications for the government to take effective measures to stabilize China’s commodity market and promote the development of alternative energy in China, as well as for market participants to best manage the market risks.

Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2020.1808577 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:53:y:2021:i:5:p:628-649

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2020.1808577

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().