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Investigating the spillovers between energy, food, and agricultural commodity markets: New insights from the quantile coherency approach

Author

Listed:
  • Rabeh Khalfaoui

    (ICN Business School, CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine)

  • Umer Shahzad

    (Anhui University [Hefei])

  • Mahdi Ghaemi Asl

    (Kharazmi University [Tehran])

  • Sami Ben Jabeur

    (ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University), UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University))

Abstract

The prime objective of this research is to analyze the spillovers and associations between the commodity markets of energy, food, and agriculture products. In doing so, the authors used the most recently available monthly data covering the period of 1960M01 to 2021M04. For empirical analysis, the authors employ the quantile coherency method of Baruník and Kley (2019) to analyze the spillovers between energy, food, and agricultural commodities. The empirical findings indicate less spillover relationships between oil and agriculture on foreign markets in the short and long term. Energy and fertilizers have strong coherency at extreme positive and negative values. During an economic boom, the intense co-movement of oil, agriculture, food, and metal sectors may be negative, highlighting the opportunity for investment diversification.

Suggested Citation

  • Rabeh Khalfaoui & Umer Shahzad & Mahdi Ghaemi Asl & Sami Ben Jabeur, 2023. "Investigating the spillovers between energy, food, and agricultural commodity markets: New insights from the quantile coherency approach," Post-Print hal-03998215, HAL.
    • Handle: RePEc:hal:journl:hal-03998215
    DOI: 10.1016/j.qref.2022.12.006
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    Cited by:

    1. Naeem, Muhammad Abubakr & Hamouda, Foued & Karim, Sitara, 2024. "Tail risk spillover effects in commodity markets: A comparative study of crisis periods," Journal of Commodity Markets, Elsevier, vol. 33(C).
    2. Ha, Le Thanh, 2023. "An investigation of digital integration's importance on smart and sustainable agriculture in the European region," Resources Policy, Elsevier, vol. 86(PA).

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