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Return and volatility transmission between oil price shocks and agricultural commodities
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...
Autores principales: | , , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2021
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7894939/ https://www.ncbi.nlm.nih.gov/pubmed/33606770 http://dx.doi.org/10.1371/journal.pone.0246886 |
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author | Umar, Zaghum Gubareva, Mariya Naeem, Muhammad Akhter, Ayesha |
author_facet | Umar, Zaghum Gubareva, Mariya Naeem, Muhammad Akhter, Ayesha |
author_sort | Umar, Zaghum |
collection | PubMed |
description | 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. |
format | Online Article Text |
id | pubmed-7894939 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
spelling | pubmed-78949392021-03-01 Return and volatility transmission between oil price shocks and agricultural commodities Umar, Zaghum Gubareva, Mariya Naeem, Muhammad Akhter, Ayesha PLoS One Research Article 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. Public Library of Science 2021-02-19 /pmc/articles/PMC7894939/ /pubmed/33606770 http://dx.doi.org/10.1371/journal.pone.0246886 Text en © 2021 Umar et al http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. |
spellingShingle | Research Article Umar, Zaghum Gubareva, Mariya Naeem, Muhammad Akhter, Ayesha Return and volatility transmission between oil price shocks and agricultural commodities |
title | Return and volatility transmission between oil price shocks and agricultural commodities |
title_full | Return and volatility transmission between oil price shocks and agricultural commodities |
title_fullStr | Return and volatility transmission between oil price shocks and agricultural commodities |
title_full_unstemmed | Return and volatility transmission between oil price shocks and agricultural commodities |
title_short | Return and volatility transmission between oil price shocks and agricultural commodities |
title_sort | return and volatility transmission between oil price shocks and agricultural commodities |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7894939/ https://www.ncbi.nlm.nih.gov/pubmed/33606770 http://dx.doi.org/10.1371/journal.pone.0246886 |
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