Asymmetric Multifractal Cross-Correlations Between Economic Policy Uncertainty and Agricultural Futures Prices

Feng, You-Shuai; Li, Yang; Baoming, Cao

doi:10.1142/s0219477522500353

Cited by 9 publications

(1 citation statement)

References 38 publications

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“…Consequently, other external or internal factors or spillover effects may explain these price rises. Our findings also suggest the impact of changes in EPU and VIX on the agricultural commodity futures prices, which is in line with several authors (Choi and Hong 2020;Zhu et al 2020;Kisswani 2021;Wen et al 2021;Feng et al 2022;Lu and Zeng 2022).…”

Section: Resultssupporting

confidence: 92%

The impact of geopolitical risk on agricultural commodity prices

Hudecová¹,

Rajčániová²

2023

Agric. Econ. - Czech

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The escalation of the conflict between Russia and Ukraine had a detrimental effect on the global agricultural and food market and the price movements of essential commodities. In this study, we aim to investigate the effects of geopolitical risk on the prices of selected agricultural and food commodities using the linear and nonlinear ARDL (autoregressive distributed lag) model. Our results show evidence of the asymmetric impact of geopolitical risk on the prices of rapeseed, sugar, sunflower oil, and wheat. The findings also show no long-term link between geopolitical risk and corn, cotton, lumber, milk, oats, rough rice, and soybean prices.

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Section: Resultssupporting

confidence: 92%

The impact of geopolitical risk on agricultural commodity prices

Hudecová¹,

Rajčániová²

2023

Agric. Econ. - Czech

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Multifractal cross-correlation analysis between crude oil and agricultural futures markets: evidence from Russia–Ukraine conflict

Gaio

Capitani

2023

JADEE

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PurposeThis study investigates the impacts of the Russia–Ukraine conflict on the cross-correlation between agricultural commodity prices and crude oil prices.Design/methodology/approachThe authors used MultiFractal Detrended Fluctuation Cross-Correlation Analysis (MF-X-DFA) to explore the correlation behavior before and during conflict. The authors analyzed the price connections between future prices for crude oil and agricultural commodities. Data consists of daily futures price returns for agricultural commodities (Corn, Soybean and Wheat) and Crude Oil (Brent) traded on the Chicago Mercantile Exchange from Aug 3, 2020, to July 29, 2022.FindingsThe results suggest that cross-correlation behavior changed after the conflict. The multifractal behavior was observed in the cross correlations. The Russia–Ukraine conflict caused an increase in the series' fractal strength. The study findings showed that the correlations involving the wheat market were higher and anti-persistent behavior was observed.Research limitations/implicationsThe study was limited by the number of observations after the Russia–Ukraine conflict.Originality/valueThis study contributes to the literature that investigates the impact of the Russia–Ukraine conflict on the financial market. As this is a recent event, as far as we know, we did not find another study that investigated cross-correlation in agricultural commodities using multifractal analysis.

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Modified Model of Multiplication Cascade Image-Based 2D MF-DFA with Sign Retention

2022

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In this paper, we propose a two-dimensional multifractal sign retention detrending fluctuation analysis algorithm (2D MF-S-DFA), which takes the sign of the residual matrix into account when calculating the detrending fluctuation function in traditional 2D MF-DFA. We evaluate these two methods based on images constructed from [Formula: see text]-model multiplicative cascades. The results indicate that the numerical solution of the images extracted by 2D MF-S-DFA is closer to the theoretical solution of the multiplicative cascade images. In addition, we also compare the performance of the two methods after transforming the important parameters of the multiplicative cascade images. The results show that the relative errors and overall distance between the generalized Hurst exponent [Formula: see text] and the scale exponent [Formula: see text] extracted by 2D MF-S-DFA and the image feature values are smaller than those of 2D MF-DFA. We can conclude that the sign retention algorithm outperforms the traditional 2D MF-DFA.

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Asymmetric Multifractal Cross-Correlations Between Economic Policy Uncertainty and Agricultural Futures Prices

Cited by 9 publications

References 38 publications

The impact of geopolitical risk on agricultural commodity prices

The impact of geopolitical risk on agricultural commodity prices

Multifractal cross-correlation analysis between crude oil and agricultural futures markets: evidence from Russia–Ukraine conflict

Modified Model of Multiplication Cascade Image-Based 2D MF-DFA with Sign Retention

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