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

This paper represents an analysis of the spillover effects and time-frequency connectedness between crude oil prices and agricultural commodity markets using both the spillover index of Diebold and Yilmaz (2012) and the wavelet coherence model to evaluate whether the time-varying return spillover in...

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Autor principal: Hung, Ngo Thai
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8434820/
https://www.ncbi.nlm.nih.gov/pubmed/34539035
http://dx.doi.org/10.1016/j.resourpol.2021.102236
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author Hung, Ngo Thai
author_facet Hung, Ngo Thai
author_sort Hung, Ngo Thai
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description This paper represents an analysis of the spillover effects and time-frequency connectedness between crude oil prices and agricultural commodity markets using both the spillover index of Diebold and Yilmaz (2012) and the wavelet coherence model to evaluate whether the time-varying return spillover index exhibited the intensity and direction of transmission during the Covid-19 outbreak. Overall, the current results shed light on that in comparison with the pre-Covid-19 period, and the return spillover is more apparent during the Covid-19 crisis. However, levels of the intensity of this relationship vary through the period of research, with several intervals witnessing both negative and positive interactions. Further, our findings indicate significant heterogeneity among agriculture commodity markets in the degree of spillover to crude oil prices over time, amplifying our understanding of the economic channels through which the agriculture commodity markets are correlated. More importantly, there exist significant dependent patterns about the information spillovers across the crude oil and agriculture commodity markets might provide prominent implications for portfolio managers, investors, and government agencies.
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spelling pubmed-84348202021-09-13 Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak Hung, Ngo Thai Resour Policy Article This paper represents an analysis of the spillover effects and time-frequency connectedness between crude oil prices and agricultural commodity markets using both the spillover index of Diebold and Yilmaz (2012) and the wavelet coherence model to evaluate whether the time-varying return spillover index exhibited the intensity and direction of transmission during the Covid-19 outbreak. Overall, the current results shed light on that in comparison with the pre-Covid-19 period, and the return spillover is more apparent during the Covid-19 crisis. However, levels of the intensity of this relationship vary through the period of research, with several intervals witnessing both negative and positive interactions. Further, our findings indicate significant heterogeneity among agriculture commodity markets in the degree of spillover to crude oil prices over time, amplifying our understanding of the economic channels through which the agriculture commodity markets are correlated. More importantly, there exist significant dependent patterns about the information spillovers across the crude oil and agriculture commodity markets might provide prominent implications for portfolio managers, investors, and government agencies. Elsevier Ltd. 2021-10 2021-07-10 /pmc/articles/PMC8434820/ /pubmed/34539035 http://dx.doi.org/10.1016/j.resourpol.2021.102236 Text en © 2021 Elsevier Ltd. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Hung, Ngo Thai
Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak
title Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak
title_full Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak
title_fullStr Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak
title_full_unstemmed Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak
title_short Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak
title_sort oil prices and agricultural commodity markets: evidence from pre and during covid-19 outbreak
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8434820/
https://www.ncbi.nlm.nih.gov/pubmed/34539035
http://dx.doi.org/10.1016/j.resourpol.2021.102236
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