TY - JOUR
T1 - Asymmetric risk spillovers between oil and agricultural commodities
AU - Shahzad, Syed Jawad Hussain
AU - Hernandez, Jose Arreola
AU - Al-Yahyaee, Khamis Hamed
AU - Jammazi, Rania
N1 - Publisher Copyright:
© 2018 Elsevier Ltd
PY - 2018/7
Y1 - 2018/7
N2 - Increase in agricultural commodities’ prices not only increases economic and social costs, it may also affect health, education and family ties. The dependence and risk transmission between oil prices and the price of agricultural commodities is subject to possible symmetric or asymmetric changes due to legislation in the farm sector in recent times. The objective of this study is to understand the extent to which oil as a global economic factor influences the price behavior of agricultural commodities such as wheat, maize, soybeans, and rice under adverse and prosperous market scenarios. We find evidence of symmetry in the tail dependence between variables, and of asymmetry in the spillovers from oil to agricultural commodities that intensify during financial turmoil. Policymakers and traders of agricultural commodities may benefit by considering the identified asymmetries in co-movements and risk spillovers.
AB - Increase in agricultural commodities’ prices not only increases economic and social costs, it may also affect health, education and family ties. The dependence and risk transmission between oil prices and the price of agricultural commodities is subject to possible symmetric or asymmetric changes due to legislation in the farm sector in recent times. The objective of this study is to understand the extent to which oil as a global economic factor influences the price behavior of agricultural commodities such as wheat, maize, soybeans, and rice under adverse and prosperous market scenarios. We find evidence of symmetry in the tail dependence between variables, and of asymmetry in the spillovers from oil to agricultural commodities that intensify during financial turmoil. Policymakers and traders of agricultural commodities may benefit by considering the identified asymmetries in co-movements and risk spillovers.
KW - Agricultural commodities
KW - CoVaR
KW - Oil prices
KW - Risk spillovers
KW - Static and time-varying copulas
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U2 - 10.1016/j.enpol.2018.03.074
DO - 10.1016/j.enpol.2018.03.074
M3 - Article
AN - SCOPUS:85044971100
SN - 0301-4215
VL - 118
SP - 182
EP - 198
JO - Energy Policy
JF - Energy Policy
ER -