Research Square (Research Square),
Год журнала:
2025,
Номер
unknown
Опубликована: Янв. 6, 2025
Abstract
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
