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Tail dependence risk and spillovers between oil and food prices

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  • Hanif, Waqas
  • Areola Hernandez, Jose
  • Shahzad, Syed Jawad Hussain
  • Yoon, Seong-Min

Abstract

We examine the nonlinear dependence dynamics and downside and upside risk spillovers between oil prices and world food prices captured by a world food price index and its subcategories of dairy, cereals, vegetable oil, and sugar. We draw our empirical results using static and dynamic bivariate copulas, Value-at-Risk (VaR) and conditional VaR (CoVaR) methods. Our empirical findings reveal that oil prices and aggregate food prices, as measured by the world food price index, independently move during market upturns and downturns. However, lower and upper tail dependence is observed between oil prices and cereals, vegetable oil, and sugar prices. We also identify upside and downside asymmetric risk spillovers from individual food commodities to oil and from oil to food commodities. Oil prices most strongly affect sugar and vegetable oil prices (downside and upside) whereas oil prices are most strongly impacted in the downside and upside by vegetable oil and sugar prices, respectively. The implications of the results are discussed.

Suggested Citation

  • Hanif, Waqas & Areola Hernandez, Jose & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2021. "Tail dependence risk and spillovers between oil and food prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 195-209.
    • Handle: RePEc:eee:quaeco:v:80:y:2021:i:c:p:195-209
    DOI: 10.1016/j.qref.2021.01.019
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    Keywords

    World food prices; Oil prices; Tail dependence; Spillovers; CoVaR;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy; Animal Welfare Policy
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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