Return and volatility transmission between oil price shocks and agricultural commodities

Umar, Zaghum; Gubareva, Mariya; Naeem, Muhammad Abubakr; Akhter, Ayesha

doi:10.1371/journal.pone.0246886

Cited by 70 publications

(42 citation statements)

References 42 publications

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“…In addition, the linkage between crude oil and agricultural commodities increases significantly when financial crises and public health events occur, which is consistent with the findings of Umar, Gubareva, et al. (2021), Kumar et al. (2021), Balcilar et al.…”

Section: Resultssupporting

confidence: 90%

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Dynamic correlation between crude oil and agricultural futures markets

Chen

Yan

Kang

2022

Review Development Economics

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In recent years, the relationship between agricultural commodities and crude oil has become increasingly close with the promotion of biofuel policies. This study examines the dynamic correlation between global crude oil futures and seven agricultural commodity futures by applying the consistent dynamic conditional correlation and dynamic equicorrelation models. The empirical results show that the dynamic correlation between the global crude oil futures market and China's agricultural futures market is weak compared to the global agricultural futures market. In particular, soybean oil has the strongest correlation with crude oil, while Dalian Commodity Exchange (DCE) corn and Zhengzhou Commodity Exchange wheat have the weakest correlation with crude oil. There is an indirect linkage between crude oil futures and DCE soybean meal and DCE soybean oil. Moreover, the dynamic correlation between crude oil and agricultural commodities increased during the financial crisis, the novel coronavirus (COVID‐19) epidemic, and the crude oil crash crisis. Brent crude oil has a stronger co‐movement with China's agricultural commodities than West Texas Intermediate crude oil and can better hedge the risk of agricultural commodities. The findings of this study provide some insights into the contagion risk management of crude oil futures and agricultural futures markets.

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Section: Resultssupporting

confidence: 90%

“…Moreover, the supply shock of oil prices is mainly caused by price changes in grain (Umar et al., 2021). Shiferaw (2019) indicated that agricultural product prices and energy prices show a strong co‐movement.…”

Section: Introductionmentioning

confidence: 99%

Dynamic correlation between crude oil and agricultural futures markets

Chen

Yan

Kang

2022

Review Development Economics

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“…In respect of the state of art relative to academic research on diverse financial and economic consequences of the pandemic, including design and implementation of policies facilitating recovery from the Covid-triggered slowdown, it is worth acknowledging that the respective literature has recently grown with a rapid pace ( [13][14][15][16][17][18][19][20]; and references therein). However, a major part of academic publications addressing the reaction of financial markets to the pandemic is mostly focused on the stock market impacts ( [3,5,8,9,21,22]; among others), commodities ( [23][24][25][26][27]; among others), currencies and crypto-currencies [28][29][30][31]. However, it is worth noting that the sovereign and corporate debt markets are barely addressed.…”

Section: Covid-19 Impact On Financial Marketsmentioning

confidence: 99%

The impact of the Covid-19 related media coverage upon the five major developing markets

2021

Self Cite

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This paper analyses the influence of the Covid-19 coverage by the social media upon the shape of the sovereign yield curves of the five major developing countries, namely Federative Republic of B razil, Russian Federation, Republic of India, People’s Republic of China, and the Republic of South Africa (BRICS). The coherenc e between the level, slope, and the curvature of the sovereign yield term structures and the Covid-19 medi a coverage is found to vary between low and high ranges, depending on the phases of the pandemic. The empirical estimations of the yield-curve factors a re performed by means of the Diebold–Li modified version of the Nelson–Siegel model. The intervals of low coherence reveal the capacity of the two latent factors, level and slope, to be used for creating cross-factor diversification strategies, workable under crisis conditions, as evidenced on the example of the ongoing pandemic. Diverse coherence patterns are reported on a per-country basis, highlighting a promising potential of sovereign debt investments for designing cross-country and cross-factor fixed-income strategies, capable of hedging downside risks.

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“…Nevertheless, studies of this type are difficult to find, most of the research, in Europe, is focus on competitiveness of agricultural products [ 5 , 6 ], volatility of prices [ 7 ], sustainability of food system [ 8 ], the assessment of biological risk–diseases in animals [ 9 , 10 ], environmental risk [ 11 ], negative impacts of the agricultural commodities on ecosystems [ 12 ], and few analysis on commodities diversification and their impacts.…”

Section: Literature Review and Contextmentioning

confidence: 99%

Bananas, coffee and palm oil: The trade of agricultural commodities in the framework of the EU-Colombia free trade agreement

2021

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Generally, research and studies about commodities focus on price trends, analysis in terms of international competitiveness, market position structure, rate of net exports, market share, and concentration index. This paper has developed an analysis of the most influential agricultural commodities traded from Colombia to European Union, which are bananas, coffee, and palm oil. Analyzing the economic and commercial effects in two traditional agricultural commodities from Colombia (bananas and coffee) with the rise of palm oil as a commodity in the trade relation with its partner; the European Union. The structure draws from the overview of general aspects and the behavior of Colombian foreign trade, as diversification of export products and trade partners, to focus on the characteristics of the trade relationship between the European Union and Colombia. The aim is analyze the proportional relation between bananas, coffee, and palm oil exported to the EU, according to three indicators, the volume of production, exports share, and trade value, from 2008 until 2019, identifying the trends before and after the implementation of the free trade agreement. Finally, with the coefficient correlation, determine the agricultural commodity that has the strongest and positive relationship with the total agricultural exports value from Colombia to the European Union.

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Return and volatility transmission between oil price shocks and agricultural commodities

Cited by 70 publications

References 42 publications

Dynamic correlation between crude oil and agricultural futures markets

Dynamic correlation between crude oil and agricultural futures markets

The impact of the Covid-19 related media coverage upon the five major developing markets

Bananas, coffee and palm oil: The trade of agricultural commodities in the framework of the EU-Colombia free trade agreement

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