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Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict

Author

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  • Noureddine Benlagha

    (Qatar University)

  • Wafa Abdelmalek

    (Sfax University)

Abstract

This paper investigates the interconnectedness patterns between agricultural commodities, crude oil, and ethanol, along with their determinants before and during the COVID-19 pandemic and the Russia–Ukraine conflict. We employ a time-varying parameter vector autoregression model to analyze interconnected behaviors among energy and agricultural commodities. Additionally, quantile regression is used to assess the impact of financial and economic fundamentals on transmission mechanisms in commodity markets. The empirical findings reveal time-varying and crisis-responsive linkages between energy and agricultural commodities, particularly during the COVID-19 pandemic and Russia–Ukraine conflict. Furthermore, economic and financial market uncertainties emerge as significant determinants of the interconnectedness between these commodity groups.

Suggested Citation

  • Noureddine Benlagha & Wafa Abdelmalek, 2024. "Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 781-825, September.
  • Handle: RePEc:spr:eurase:v:14:y:2024:i:3:d:10.1007_s40822-024-00279-7
    DOI: 10.1007/s40822-024-00279-7
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    More about this item

    Keywords

    Connectedness; Agricultural commodity; Oil and ethanol; COVID-19 pandemic; Russia–Ukraine conflict;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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