Document Type
Article
Source of Publication
PLoS ONE
Publication Date
2-1-2021
Abstract
© 2021 Umar et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. 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.
DOI Link
Publisher
Public Library of Science (PLoS)
Volume
16
Issue
2 February 2021
Disciplines
Business
Scopus ID
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
Umar, Zaghum; Gubareva, Mariya; Naeem, Muhammad; and Akhter, Ayesha, "Return and volatility transmission between oil price shocks and agricultural commodities" (2021). All Works. 4057.
https://zuscholars.zu.ac.ae/works/4057
Indexed in Scopus
yes
Open Access
yes
Open Access Type
Gold: This publication is openly available in an open access journal/series