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Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?

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  • Just, Małgorzata
  • Echaust, Krzysztof

Abstract

This paper applies the dynamic Diebold–Yilmaz and Baruník–Křehlík spillover indices to document a closer integration between agricultural commodity markets in the period when markets rebounded after the COVID-19 threat to the Russia–Ukraine​ war. We also identified the record return spillover transmission among agricultural commodities during a time of conflict and the strongest transmitters are wheat, maize and barley. The findings emphasise an increasing uncertainty to the global food market.

Suggested Citation

  • Just, Małgorzata & Echaust, Krzysztof, 2022. "Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?," Economics Letters, Elsevier, vol. 217(C).
    • Handle: RePEc:eee:ecolet:v:217:y:2022:i:c:s0165176522002245
    DOI: 10.1016/j.econlet.2022.110671
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    References listed on IDEAS

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    More about this item

    Keywords

    COVID-19; Russia–Ukraine war; Agricultural commodity; Spillover index;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness

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