Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals

Time and frequency connectedness among oil shocks, electricity and clean energy markets

Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak

Dynamic volatility spillover effects between oil and agricultural products

Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak

This study examines the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008–09 financial crisis. We tested for volatility spillovers with a flexible bivariate heterogeneous autoregressive model to identify the short-, mid-, and long-term spillover effects. We observed bidirectional spillovers of short-term volatilities between crude oil and agricultural commodity markets in the crisis period, compared to mid-term and long-term volatilities of corn being transmitted to the crude oil volatility in the post-crisis period. These findings suggest that crude oil and agricultural commodity markets have become less integrated after the 2008–09 crisis.

https://www.mdpi.com/2071-1050/11/2/396/pdf

Lihong Liu

Papers

Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis