Return and volatility transmission between oil price shocks and agricultural commodities.
PLoS One
; 16(2): e0246886, 2021.
Article
en En
| MEDLINE
| ID: mdl-33606770
ABSTRACT
This paper studies the connectedness between oil price shocks and agricultural commodities. Our sample period ranges from January 2002 to July 2020, covering the three global crises; Global Financial Crisis, the European sovereign debt crisis and Covid-19 pandemic crisis. We employ Granger causality tests, and the static and dynamic connectedness spillover index methodology. We find that the shocks in oil prices are Granger-caused mainly by price changes of grains, live cattle, and wheat, while supply shock granger causes variations mostly in grain prices. We find that, from the point of view of static connectedness, for both, price and volatility spillovers, the livestock is the largest transmitter, while the lean hogs are the major receiver. Our dynamic analysis evidences that connectedness increases during the financial crisis period. Our results are potentially useful for investors, portfolios managers and policy makers.
Texto completo:
1
Colección:
01-internacional
Base de datos:
MEDLINE
Asunto principal:
Petróleo
/
Comercio
/
Agricultura
/
SARS-CoV-2
/
COVID-19
Tipo de estudio:
Health_economic_evaluation
Límite:
Humans
Idioma:
En
Revista:
PLoS One
Asunto de la revista:
CIENCIA
/
MEDICINA
Año:
2021
Tipo del documento:
Article
País de afiliación:
Emiratos Árabes Unidos