Asymmetric risk spillovers between oil and agricultural commodities

Syed Jawad Hussain Shahzad, Jose Arreola Hernandez, Khamis Hamed Al-Yahyaee, Rania Jammazi

Research output: Contribution to journalArticle

15 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)182-198
Number of pages17
JournalEnergy Policy
Volume118
DOIs
Publication statusPublished - Jul 1 2018

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Keywords

  • Agricultural commodities
  • CoVaR
  • Oil prices
  • Risk spillovers
  • Static and time-varying copulas

ASJC Scopus subject areas

  • Energy(all)
  • Management, Monitoring, Policy and Law

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