Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?

Just, Małgorzata; Echaust, Krzysztof

doi:10.1016/j.econlet.2022.110671

Cited by 52 publications

(38 citation statements)

References 8 publications

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“…Second, Palm Oil, Soyabean, Maize and Wheat were found to be net emitters in extreme quantiles (0.1 & 0.9) (see Fig. 3 ) which is consistent with the findings of the latest work [ 9 , 43 ]. We found, Soyabeans to be connected with most agri commodities (8 out of 14 commodities).…”

Section: Discussionsupporting

confidence: 91%

Quantile connectedness in agri-commodity markets: What has changed over past six decades?

Ghosh

Paparas²

2023

Heliyon

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Section: Discussionsupporting

confidence: 91%

Quantile connectedness in agri-commodity markets: What has changed over past six decades?

Ghosh

Paparas²

2023

Heliyon

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“…In addition, the reverse causality episode, such as the US-China trade war, during which causality runs from agricultural commodity prices to trade policy uncertainty was reported in the study. Just & Echaust (2022) focused on the Russia-Ukraine war using daily data covering the period from 2000 to 2022.…”

Section: Literaturementioning

confidence: 99%

“…Due to concerns about disruptions in the global supply chain, agricultural commodity prices rose sharply, hitting their highest level since the 2008 spike in this commodity class (Yan et al, 2021). As markets began to recover following Covid-19, the outbreak of the Russia-Ukraine war significantly increased spillover effects among individual agricultural commodities, exacerbating the impact on agricultural markets (Just & Echaust, 2022).…”

Section: Introductionmentioning

confidence: 99%

The Causality Between Agricultural Raw Materials and Economic Policy Uncertainty: Evidence From the Time-Varying Granger Causality

Tunc

SAVAŞ²,

Barak

2023

ijmeb

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This paper aims to examine the time-varying dynamics of the causality interaction between agricultural raw materials commodity prices and the US economic policy uncertainty (EPU). To this end, we use monthly data for the period spanning from January 1992 to November 2021. We employ a time-varying Granger causality test to provide empirical evidence about the time-varying dynamics of the causality interaction and thereby revealing potential heterogeneities of these interactions during major historical events. The results show that causality running from EPU to agricultural raw materials, as well as causality running from agricultural raw materials to EPU, exhibits time-varying dynamics. More specifically, the findings reveal that causality generally tended to run from agricultural raw materials to EPU for most of the 2000-2014 period, but reversed with the US-China trade war and the Covid-19 pandemic period. This result highlights the importance of modeling the potential causality interactions in the economic uncertainty-commodity prices nexus within a dynamic framework and implies that these interactions cannot be considered independently of the prevailing economic, political and global conditions.

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“…To shed light on the aforementioned question and extend the research on cross‐market associations, this paper examines tail risk contagion across commodity markets during the COVID‐19 crisis. Although a number of studies have examined the impact of COVID‐19 on price linkages between commodity markets (e.g., Chen et al, 2022 ; Gong et al, 2022 ; Hung, 2021 ; Just & Echaust, 2022 ; Sun et al, 2021 ; Umar et al, 2022 ; Zhang & Ding, & Shi, 2022 ), most of them, however, have only focused on linkages between a few typical commodities (e.g., the linkages between crude oil and agricultural commodities) or various commodity indices, looking only at the connectedness of returns and volatility among commodities. To the best of our knowledge, little attention has been paid to the impact of COVID‐19 on the tail risk connectedness across commodities, and our study fills this gap.…”

Section: Introductionmentioning

confidence: 99%

COVID‐19 and tail risk contagion across commodity futures markets

Qiao

Han

2022

Journal of Futures Markets

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This paper examines the impact of COVID-19 on tail risk contagion across commodity futures markets using a copula-based network method. We document a significant increase in the lower and upper tail contagiousness of commodities following the COVID-19 outbreak. Contagion shows an obvious clustering characteristic, that is, there is higher tail risk connectedness between commodities in the same category. Agricultural commodities are significantly less contagious than metals and energy commodities; soft commodities in particular can offer investors significant diversification benefits. There are several hub commodities in the contagion network, chief among them copper, which are good transmitters of shocks and should be treated with caution by investors and regulators. Although tail risk and contagiousness of individual commodities increase together during the pandemic, we find a negative cross-sectional relationship between tail risk and contagiousness, that is, commodities with high tail risk are not necessarily highly contagious and may even be less so.

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Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?

Cited by 52 publications

References 8 publications

Quantile connectedness in agri-commodity markets: What has changed over past six decades?

Quantile connectedness in agri-commodity markets: What has changed over past six decades?

The Causality Between Agricultural Raw Materials and Economic Policy Uncertainty: Evidence From the Time-Varying Granger Causality

COVID‐19 and tail risk contagion across commodity futures markets

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