Co-movements between heterogeneous crude oil and food markets: Does temperature change really matter?

In the global context of temperature change, two climate-sensitive sectors, food and crude oil are directly and severely exposed to frequent climate issues, and their risks are often considered in isolation. However, crude oil and food are closely interrelated. Here, this paper constructs a unified framework to comprehensively explore the impact of temperature change on spillovers between heterogeneous crude oil shocks and corn, soybean, and wheat markets from both time-frequency and quantile perspectives. The bidirectional spillover between oil and food is asymmetric and predominantly positive. Temperature changes generally have an amplifying effect on spillovers, but the effect in extreme cross-market spillovers will vary with crude oil shock types. Differentiated policies for heterogeneous crude oil shocks are therefore necessary. Particularly under the crude oil-specific demand shock, temperature changes can counterintuitively and negatively affect extreme two-way oil-soybean spillovers. This research provides new insights into energy and food security issues under temperature changes.