Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak. (October 2021)

• Record Type: Journal Article
• Authors: Hung, Ngo Thai
• Is Part Of: Resources policy. Volume 73(2021)
• Publication Date: 2021-10
• Subjects: COVID-19 -- Agricultural commodity -- Crude oil -- Wavelet coherence -- Spillover index -- JEL Clarifications: C11 -- C52 -- Q41; C11 -- C52 -- Q41; Mines and mineral resources -- Periodicals; Ressources minérales -- Périodiques; Ressources naturelles -- Gestion -- Périodiques; Environnement -- Politique gouvernementale -- Périodiques; 333.8
• DOI: 10.1016/j.resourpol.2021.102236
• Languages: English
• ISSNs: 0301-4207

Abstract

Abstract: This paper represents an analysis of the spillover effects and time-frequency connectedness between crude oil prices and agricultural commodity markets using both the spillover index of Diebold and Yilmaz (2012) and the wavelet coherence model to evaluate whether the time-varying return spillover index exhibited the intensity and direction of transmission during the Covid-19 outbreak. Overall, the current results shed light on that in comparison with the pre-Covid-19 period, and the return spillover is more apparent during the Covid-19 crisis. However, levels of the intensity of this relationship vary through the period of research, with several intervals witnessing both negative and positive interactions. Further, our findings indicate significant heterogeneity among agriculture commodity markets in the degree of spillover to crude oil prices over time, amplifying our understanding of the economic channels through which the agriculture commodity markets are correlated. More importantly, there exist significant dependent patterns about the information spillovers across the crude oil and agriculture commodity markets might provide prominent implications for portfolio managers, investors, and government agencies. Highlights: Effects of oil prices on agricultural commodity markets pre and during the Covid-19 outbreak are examined. Use a combination of spillover index and wavelet coherence methods. Find the time-frequency nexus between the selected variables. Price spillover is apparent during the Covid-19 crisis. The results are robust to conduct different econometric techniques.