TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes

Applied Energy, Journal Year: 2023, Volume and Issue: 357, P. 122487 - 122487

Published: Dec. 24, 2023

Language: Английский

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Contagion effect between fuel fossil energies and agricultural commodity markets and portfolio management implications

International Review of Economics & Finance, Journal Year: 2024, Volume and Issue: 95, P. 103492 - 103492

Published: Aug. 5, 2024

Language: Английский

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Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets

Energy Economics, Journal Year: 2024, Volume and Issue: 132, P. 107468 - 107468

Published: March 15, 2024

Should investors and policy makers in agricultural markets consider oil market's incontestable impact on portfolio risk management? This paper investigates the time-varying market linkages between energy commodities presence of two important exogenous shocks, viz., COVID-19 pandemic subsequent 2022 Russia–Ukraine military conflict. We use a novel parameter vector autoregressive model with common factor error structure to estimate tail connectedness for period December 31, 2019 18, 2023. Our findings provide clear evidence asymmetry volatility evolution. determine that spillover magnitudes are much stronger across quantiles than at mean. note crude is main transmitter shocks system before onset Russia-Ukraine conflict lower distribution. While natural gas transmit both pre- post-conflict announcement periods. Furthermore, found transmission commodities. Numerous observed shift their position from transmitters receivers volatility, vice versa, due Ukraine. causality results depict patterns other has varying Commodities which conflicting countries major world exports of, such as wheat, have notably increased dependency oil. Thus, we advise policymakers seriously management monitoring policies.

Language: Английский

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Dynamic connectedness among market volatilities: a perspective of COVID-19 and Russia-Ukraine conflict

Studies in Economics and Finance, Journal Year: 2024, Volume and Issue: 41(5), P. 1119 - 1140

Published: April 16, 2024

Purpose This paper aims to investigate the dynamic volatility connectedness among 13 G20 countries by using indices. Design/methodology/approach The approach based on time-varying parameter vector autoregression model has been used linkage. period of study is from 1 January 2014 20 April 2023. Findings analysis revealed that during COVID-19 and Russia–Ukraine conflict had increased significantly. Furthermore, indicated investors not anticipated World Health Organization announcement as a global pandemic. Contrarily, Russian invasion Ukraine, evident in significant rise before after invasion. In addition, transmission developed developing countries. Developed are NET transmitters, whereas receivers. Finally, ordinary least square regression result suggests index informative stock market dynamics. Originality/value widely estimate indices, cryptocurrencies, sectoral enegy commodities metals. To best authors’ knowledge, none previous studies have directly indices measure connectedness. Hence, this first its kind

Language: Английский

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Measuring dynamic spillovers between crude oil and grain commodity markets: A comparative analysis of demand and supply shocks

Finance research letters, Journal Year: 2024, Volume and Issue: 67, P. 105748 - 105748

Published: Sept. 1, 2024

Language: Английский

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Quantile time-frequency connectedness among G7 stock markets and clean energy markets

The Quarterly Review of Economics and Finance, Journal Year: 2023, Volume and Issue: 93, P. 71 - 90

Published: Nov. 21, 2023

Language: Английский

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Tail risk market spillovers of oil to agricultural commodities: A time-frequency quantile approach

Research Square (Research Square), Journal Year: 2025, Volume and Issue: unknown

Published: Jan. 6, 2025

The interplay between commodities and oil prices provides a trade-off for investors consumers. However, the increasing interconnectedness these two series helps to design efficient investment strategies. Therefore, in this paper, risk spillovers from market that of agricultural commodities, namely, corn, wheat, soybeans, sugar, cotton, cocoa, coffee, lean hogs, live cattle period spanning May 1987 December 2023 was investigated. For analysis, we employ quantile frequency connectedness approach, our findings reveal under all conditions (normal, bearish, bullish) soybean are return spillovers’ net transmitters, but sugar is consistent shocks receiver across frequencies. Furthermore, receive WTI during normal conditions. At lower conditions, weaker than extreme (higher quantiles). Moreover, network plots show short-run dominates long-run at price returns extremes. Similarly, finding reports significant implications policymakers, portfolio managers, diversify their investments different JEL codes: C22 F21 G11 G13 G32

Language: Английский

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Time-frequency volatility spillovers between CBDC uncertainty and cryptocurrencies

Finance research letters, Journal Year: 2025, Volume and Issue: 74, P. 106763 - 106763

Published: Jan. 5, 2025

Language: Английский

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Risk spillovers between the BRICS and the U.S. staple grain futures markets

Finance research letters, Journal Year: 2025, Volume and Issue: unknown, P. 106835 - 106835

Published: Jan. 1, 2025

Language: Английский

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Evaluating the hedging potential of energy, metals, and agricultural commodities for U.S. stocks post-COVID-19

The North American Journal of Economics and Finance, Journal Year: 2025, Volume and Issue: 77, P. 102380 - 102380

Published: Feb. 1, 2025

Language: Английский

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