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Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

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Cited by:

  1. Areola Hernandez, Jose & Uddin, Gazi Salah & Dutta, Anupam & Ahmed, Ali & Kang, Sang Hoon, 2020. "Are ethanol markets globalized or regionalized?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
  2. Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Spillovers between food and energy prices and structural breaks," International Economics, CEPII research center, issue 150, pages 1-18.
  3. Xinyu Yuan & Jiechen Tang & Wing-Keung Wong & Songsak Sriboonchitta, 2020. "Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach," Sustainability, MDPI, vol. 12(1), pages 1-17, January.
  4. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  5. Carpio, Lucio Guido Tapia, 2019. "The effects of oil price volatility on ethanol, gasoline, and sugar price forecasts," Energy, Elsevier, vol. 181(C), pages 1012-1022.
  6. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
  7. Condon, Nicole & Klemick, Heather & Wolverton, Ann, 2015. "Impacts of ethanol policy on corn prices: A review and meta-analysis of recent evidence," Food Policy, Elsevier, vol. 51(C), pages 63-73.
  8. Chia-Lin Chang & Yiying Li & Michael McAleer, 2018. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Energies, MDPI, vol. 11(6), pages 1-19, June.
  9. M. Thenmozhi & Shipra Maurya, 2020. "Crude Oil Volatility Transmission Across Food Commodity Markets: A Multivariate BEKK-GARCH Approach," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(2), pages 131-164, August.
  10. Yuru Guan & Jin Yan & Yuli Shan & Yannan Zhou & Ye Hang & Ruoqi Li & Yu Liu & Binyuan Liu & Qingyun Nie & Benedikt Bruckner & Kuishuang Feng & Klaus Hubacek, 2023. "Burden of the global energy price crisis on households," Nature Energy, Nature, vol. 8(3), pages 304-316, March.
  11. Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Nguyen, Duc Khuong, 2020. "Dynamic volatility spillover effects between oil and agricultural products," International Review of Financial Analysis, Elsevier, vol. 69(C).
  12. Khalfaoui, Rabeh & Baumöhl, Eduard & Sarwar, Suleman & Výrost, Tomáš, 2021. "Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks," Resources Policy, Elsevier, vol. 74(C).
  13. Heckelei, T. & Amrouk, E.M. & Grosche, S., 2018. "International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277376, International Association of Agricultural Economists.
  14. Marinella Davide & Paola Vesco, 2016. "Alternative Approaches for Rating INDCs: a Comparative Analysis," Working Papers 2016.18, Fondazione Eni Enrico Mattei.
  15. Whistance, Jarrett & Ripplinger, David & Thompson, Wyatt, 2016. "Biofuel-related price transmission using Renewable Identification Number prices to signal mandate regime," Energy Economics, Elsevier, vol. 55(C), pages 19-29.
  16. Qingjie Zhou & Panpan Zhu & You Wu & Yinpeng Zhang, 2022. "Research on the Volatility of the Cotton Market under Different Term Structures: Perspective from Investor Attention," Sustainability, MDPI, vol. 14(21), pages 1-20, November.
  17. Tokgoz, Simla & Traoré, Fousseini, 2023. "Understanding E10 markets in the U.S.: Evidence from spatial data," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1267-1281.
  18. Felipe Avileis & Mindy Mallory, 2021. "The Impact of Brazil on Global Grain Dynamics: A Study on Cross-Market Volatility Spillovers," Papers 2104.12706, arXiv.org.
  19. Regmi, Madhav & Featherstone, Allen M., 2017. "U.S. Energy Price Volatility Spillover in Global Corn Markets," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252776, Southern Agricultural Economics Association.
  20. An, Henry & Qiu, Feng & Rude, James, 2021. "Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?," Economic Modelling, Elsevier, vol. 102(C).
  21. Matthias Kalkuhl & Lukas Kornher & Marta Kozicka & Pierre Boulanger & Maximo Torero, 2013. "Conceptual framework on price volatility and its impact on food and nutrition security in the short term," FOODSECURE Working papers 15, LEI Wageningen UR.
  22. Le, Trung H. & Pham, Linh & Do, Hung X., 2023. "Price risk transmissions in the water-energy-food nexus: Impacts of climate risks and portfolio implications," Energy Economics, Elsevier, vol. 124(C).
  23. Zhang, Dengjun & Asche, Frank & Oglend, Atle, 2014. "Ethanol and trade: An analysis of price transmission in the US market," Energy Economics, Elsevier, vol. 42(C), pages 1-8.
  24. Deborah Bentivoglio & Adele Finco & Mirian Rumenos Piedade Bacchi, 2016. "Interdependencies between Biofuel, Fuel and Food Prices: The Case of the Brazilian Ethanol Market," Energies, MDPI, vol. 9(6), pages 1-16, June.
  25. Bentivoglio, Deborah & Finco, Adele & Bacchi, Mirian, 2015. "Examining Price Transmission between Fuels and Food Prices: the Brazilian Sugar-Ethanol Market," 2015 Conference, August 9-14, 2015, Milan, Italy 211327, International Association of Agricultural Economists.
  26. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
  27. Yiyang Qiao & Minseong Kang & Byeong-il Ahn, 2023. "Analysis of Factors Affecting Vegetable Price Fluctuation: A Case Study of South Korea," Agriculture, MDPI, vol. 13(3), pages 1-16, February.
  28. Cheng, Sheng & Cao, Yan, 2019. "On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework," Energy Economics, Elsevier, vol. 81(C), pages 422-432.
  29. Ahmed, Osama, 2021. "Do future markets protect the spot markets in developing countries? The case of the Egyptian wheat market," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 20(5), pages 65-83.
  30. Ozgur Bor & Nihat Dagistan, 2024. "The impact of fluctuating international fertiliser prices and exchange rates on domestic fertiliser prices in Türkiye," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 70(1), pages 12-23.
  31. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
  32. Ángeles Cebrián-Hernández & Enrique Jiménez-Rodríguez, 2021. "Modeling of the Bitcoin Volatility through Key Financial Environment Variables: An Application of Conditional Correlation MGARCH Models," Mathematics, MDPI, vol. 9(3), pages 1-16, January.
  33. Pu, Yingjian & Yang, Baochen, 2022. "The commodity futures' historical basis in trading strategy and portfolio investment," Energy Economics, Elsevier, vol. 105(C).
  34. Kerber, Samuel W. & Gilbert, Alexander Q. & Deinert, Mark R. & Bazilian, Morgan D., 2021. "Understanding the nexus of energy, environment and conflict: An overview," Renewable and Sustainable Energy Reviews, Elsevier, vol. 151(C).
  35. Papież, Monika, 2014. "A dynamic analysis of causality between prices of corn, crude oil and ethanol," MPRA Paper 56540, University Library of Munich, Germany.
  36. Nicola, Francesca de & De Pace, Pierangelo & Hernandez, Manuel A., 2016. "Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment," Energy Economics, Elsevier, vol. 57(C), pages 28-41.
  37. 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.
  38. Manuel A. Hernandez & Shahidur Rashid & Solomon Lemma & Tadesse Kuma, 2017. "Market Institutions and Price Relationships: The Case of Coffee in the Ethiopian Commodity Exchange," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(3), pages 683-704.
  39. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Yoon, Seong-Min, 2014. "Dynamic spillovers among major energy and cereal commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 225-243.
  40. Ceballos, Francisco & Hernandez, Manuel A. & Minot, Nicholas & Robles, Miguel, 2017. "Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries," World Development, Elsevier, vol. 94(C), pages 305-320.
  41. Chatterjee, Snehamoy & Sethi, Manas Ranjan & Asad, Mohammad Waqar Ali, 2016. "Production phase and ultimate pit limit design under commodity price uncertainty," European Journal of Operational Research, Elsevier, vol. 248(2), pages 658-667.
  42. 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).
  43. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Adewuyi, Adeolu O. & Lee, Chien-Chiang, 2022. "Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak," Energy Economics, Elsevier, vol. 113(C).
  44. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
  45. Maitra, Debasish & Guhathakurta, Kousik & Kang, Sang Hoon, 2021. "The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications," Energy Economics, Elsevier, vol. 94(C).
  46. Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016. "How is volatility in commodity markets linked to oil price shocks?," Energy Economics, Elsevier, vol. 59(C), pages 11-23.
  47. Pal, Debdatta & Mitra, Subrata K., 2019. "Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops," Economic Modelling, Elsevier, vol. 82(C), pages 453-466.
  48. Andriosopoulos, Kostas & Galariotis, Emilios & Spyrou, Spyros, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Energy Economics, Elsevier, vol. 66(C), pages 217-227.
  49. Fernandez-Diaz, Jose M. & Morley, Bruce, 2019. "Interdependence among agricultural commodity markets, macroeconomic factors, crude oil and commodity index," Research in International Business and Finance, Elsevier, vol. 47(C), pages 174-194.
  50. Mensi, Walid & Tiwari, Aviral & Bouri, Elie & Roubaud, David & Al-Yahyaee, Khamis H., 2017. "The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes," Energy Economics, Elsevier, vol. 66(C), pages 122-139.
  51. Bilgili, Faik & Koçak, Emrah & Kuşkaya, Sevda & Bulut, Ümit, 2020. "Estimation of the co-movements between biofuel production and food prices: A wavelet-based analysis," Energy, Elsevier, vol. 213(C).
  52. Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
  53. Li, Jianglong & Xie, Chunping & Long, Houyin, 2019. "The roles of inter-fuel substitution and inter-market contagion in driving energy prices: evidences from China’s coal market," LSE Research Online Documents on Economics 102540, London School of Economics and Political Science, LSE Library.
  54. Zhou, Xiaoran & Enilov, Martin & Parhi, Mamata, 2024. "Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets," Energy Economics, Elsevier, vol. 132(C).
  55. Nigatu, Getachew & Hjort, Kim & Hansen, James & Somwaru, Agapi, 2014. "The Impacts of Energy Prices on Global Agricultural Commodity Supply," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169953, Agricultural and Applied Economics Association.
  56. Fasanya, Ismail & Akinbowale, Seun, 2019. "Modelling the return and volatility spillovers of crude oil and food prices in Nigeria," Energy, Elsevier, vol. 169(C), pages 186-205.
  57. Dahl, Roy Endré & Oglend, Atle & Yahya, Muhammad, 2020. "Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture," Journal of Commodity Markets, Elsevier, vol. 20(C).
  58. repec:fpr:export:1344 is not listed on IDEAS
  59. Felipe G. Avileis & Mindy L. Mallory, 2022. "The impact of Brazil on global grain dynamics: A study on cross‐market volatility spillovers," Agricultural Economics, International Association of Agricultural Economists, vol. 53(2), pages 231-245, March.
  60. Vellachami, Sanggetha & Hasanov, Akram Shavkatovich & Brooks, Robert, 2023. "Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
  61. Lotfali Agheli, 2016. "Demand for Natural Gas in Food and Beverage Industries of Iran," International Journal of Energy Economics and Policy, Econjournals, vol. 6(3), pages 588-593.
  62. Rezitis, Anthony N. & Kastner, Gregor, 2021. "On the joint volatility dynamics in international dairy commodity markets," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 60(2), January.
  63. Xu Gong & Yujing Jin & Chuanwang Sun, 2022. "Time‐varying pure contagion effect between energy and nonenergy commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1960-1986, October.
  64. James Ming Chen & Mobeen Ur Rehman, 2021. "A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities," Energies, MDPI, vol. 14(19), pages 1-58, September.
  65. Tiwari, Aviral Kumar & Khalfaoui, Rabeh & Solarin, Sakiru Adebola & Shahbaz, Muhammad, 2018. "Analyzing the time-frequency lead–lag relationship between oil and agricultural commodities," Energy Economics, Elsevier, vol. 76(C), pages 470-494.
  66. Yaxian Lu & Longguang Yang & Lihong Liu, 2019. "Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis," Sustainability, MDPI, vol. 11(2), pages 1-12, January.
  67. Algieri, Bernardina, 2014. "The influence of biofuels, economic and financial factors on daily returns of commodity futures prices," Energy Policy, Elsevier, vol. 69(C), pages 227-247.
  68. Cornelis Gardebroek & Manuel A. Hernandez & Miguel Robles, 2016. "Market interdependence and volatility transmission among major crops," Agricultural Economics, International Association of Agricultural Economists, vol. 47(2), pages 141-155, March.
  69. Götz, Linde & Goychuk, Kateryna & Glauben, Thomas & Meyers, William H., 2013. "Export Restrictions and Market Uncertainty: Evidence from the Analysis of Price Volatility in the Ukrainian Wheat Market," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150308, Agricultural and Applied Economics Association.
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  113. Dodder, Rebecca S. & Kaplan, P. Ozge & Elobeid, Amani & Tokgoz, Simla & Secchi, Silvia & Kurkalova, Lyubov A., 2015. "Impact of energy prices and cellulosic biomass supply on agriculture, energy, and the environment: An integrated modeling approach," Energy Economics, Elsevier, vol. 51(C), pages 77-87.
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