Quantile time−frequency connectedness between energy and agriculture markets: a study during the COVID-19 crisis and the Russo−Ukrainian conflict

Purpose This paper aims to examine the volatility connectedness between energy and agricultural commodities across different quantiles and time horizons. Design/methodology/approach This study uses the quantile frequency connectedness approach on daily data spanning from January 2019 to November 202...

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Bibliographic Details
Published in:Journal of financial economic policy 2024-10, Vol.16 (5), p.559-579
Main Authors: Yousfi, Mohamed, Bouzgarrou, Houssam
Format: Article
Language:English
Subjects:
Agricultural commodities
Agriculture
Banking industry
Commodities
Conflict
Connectedness
Coronaviruses
COVID-19
Crises
Crude oil
Disease transmission
Economic crisis
Energy
Energy industry
Exports
Geopolitics
International finance
Investigations
Markets
Pandemics
Policy making
Prices
Stochastic models
Uncertainty
Volatility
War
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Summary:Purpose This paper aims to examine the volatility connectedness between energy and agricultural commodities across different quantiles and time horizons. Design/methodology/approach This study uses the quantile frequency connectedness approach on daily data spanning from January 2019 to November 2023. Findings The results indicate a sharp increase in total connectedness during the COVID-19 crisis and the Russian−Ukrainian conflict, suggesting that both the crisis and the war contribute to volatility spillover among energy and soft commodities. In fact, the findings suggest that, in the short term, the effects of the pandemic have a greater impact on dynamic risk spillover than those of the war. However, over the long term, the consequences of geopolitical tensions related to the war exert a more significant influence compared to the effects of the pandemic. Originality/value This study confirms that energy market prices and oil uncertainty play a significant role in explaining fluctuations in agricultural commodities across diverse timeframes, frequencies and quantiles. Particularly, at extreme quantiles, the results indicate that large shocks have a more pronounced impact than small shocks. These findings hold important implications for policymakers and market participants.
ISSN:1757-6385
1757-6385
1757-6393
DOI:10.1108/JFEP-12-2023-0397