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Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment

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Cited by:

  1. Sipan Aslan & Ceylan Yozgatligil & Cem Iyigun, 2018. "Temporal clustering of time series via threshold autoregressive models: application to commodity prices," Annals of Operations Research, Springer, vol. 260(1), pages 51-77, January.
  2. Sun, Yunpeng & Gao, Pengpeng & Raza, Syed Ali & Shah, Nida & Sharif, Arshian, 2023. "The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach," Energy, Elsevier, vol. 270(C).
  3. Liu, Chang & Sun, Xiaolei & Wang, Jun & Li, Jianping & Chen, Jianming, 2021. "Multiscale information transmission between commodity markets: An EMD-Based transfer entropy network," Research in International Business and Finance, Elsevier, vol. 55(C).
  4. Libo Yin & Qingyuan Yang & Zhi Su, 2017. "Predictability of structural co-movement in commodity prices: the role of technical indicators," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 795-812, May.
  5. 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.
  6. Satish Kumar & Aviral Kumar Tiwari & I. D. Raheem & Qiang Ji, 2020. "Dependence risk analysis in energy, agricultural and precious metals commodities: a pair vine copula approach," Applied Economics, Taylor & Francis Journals, vol. 52(28), pages 3055-3072, June.
  7. Albulescu, Claudiu Tiberiu & Tiwari, Aviral Kumar & Ji, Qiang, 2020. "Copula-based local dependence among energy, agriculture and metal commodities markets," Energy, Elsevier, vol. 202(C).
  8. Salisu, Afees A. & Adediran, Idris A., 2019. "Assessing the inflation hedging potential of coal and iron ore in Australia," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
  9. Yoon, Seong-Min, 2022. "On the interdependence between biofuel, fossil fuel and agricultural food prices: Evidence from quantile tests," Renewable Energy, Elsevier, vol. 199(C), pages 536-545.
  10. 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).
  11. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Time-varying energy and stock market integration in Asia," Energy Economics, Elsevier, vol. 80(C), pages 777-792.
  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. Claudiu Albulescu & Aviral Tiwari & Qiang Ji, 2020. "Copula-based local dependence between energy, agriculture and metal commodity markets," Papers 2003.04007, arXiv.org.
  14. Rangan Gupta & Christian Pierdzioch, 2024. "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Mathematics, MDPI, vol. 12(18), pages 1-26, September.
  15. 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.
  16. Jitmaneeroj, Boonlert, 2018. "The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 282-298.
  17. Manuel Landajo & Mar'ia Jos'e Presno, 2024. "The prices of renewable commodities: A robust stationarity analysis," Papers 2402.01005, arXiv.org.
  18. Salah Uddin, Gazi & Lucey, Brian & Rahman, Md Lutfur & Stenvall, David, 2024. "Quantile coherency across bonds, commodities, currencies, and equities," Journal of Commodity Markets, Elsevier, vol. 33(C).
  19. 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).
  20. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2017. "Can stock market investors hedge energy risk? Evidence from Asia," Energy Economics, Elsevier, vol. 66(C), pages 559-570.
  21. Luo, Jiawen & Ji, Qiang, 2018. "High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets," Energy Economics, Elsevier, vol. 76(C), pages 424-438.
  22. Xueyi Yu & Chi Mu & Dongdong Zhang, 2020. "Assessment of Land Reclamation Benefits in Mining Areas Using Fuzzy Comprehensive Evaluation," Sustainability, MDPI, vol. 12(5), pages 1-20, March.
  23. Khalfaoui, Rabeh & Shahzad, Umer & Ghaemi Asl, Mahdi & Ben Jabeur, Sami, 2023. "Investigating the spillovers between energy, food, and agricultural commodity markets: New insights from the quantile coherency approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 63-80.
  24. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  25. 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.
  26. Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Uddin, Gazi Salah & Kang, Sang Hoon, 2019. "Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach," Resources Policy, Elsevier, vol. 62(C), pages 588-601.
  27. Puneet Vatsa & Jungho Baek, 2024. "Does agricultural trade respond asymmetrically to oil price shocks? Evidence from New Zealand," Australian Economic Papers, Wiley Blackwell, vol. 63(4), pages 553-569, December.
  28. Zhuo Chen & Bo Yan & Hanwen Kang, 2022. "Dynamic correlation between crude oil and agricultural futures markets," Review of Development Economics, Wiley Blackwell, vol. 26(3), pages 1798-1849, August.
  29. Mitra, Subrata Kumar & Bhatia, Vaneet & Jana, R.K. & Charan, Parikshit & Chattopadhyay, Manojit, 2018. "Changing value detrended cross correlation coefficient over time: Between crude oil and crop prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 671-678.
  30. Tule, Moses K. & Salisu, Afees A. & Chiemeke, Charles C., 2019. "Can agricultural commodity prices predict Nigeria's inflation?," Journal of Commodity Markets, Elsevier, vol. 16(C).
  31. Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad & Suleman, Muhammad Tahir & Kang, Sang Hoon, 2022. "Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications," Energy Economics, Elsevier, vol. 105(C).
  32. 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.
  33. Karel Janda & Ladislav Kristoufek, 2019. "The relationship between fuel and food prices: Methods, outcomes, and lessons for commodity price risk management," CAMA Working Papers 2019-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  34. Filip, Ondrej & Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2019. "Food versus fuel: An updated and expanded evidence," Energy Economics, Elsevier, vol. 82(C), pages 152-166.
  35. Sergio Adriani David & Claudio M. C. Inácio & José A. Tenreiro Machado, 2019. "Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship," Mathematics, MDPI, vol. 7(9), pages 1-25, August.
  36. 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).
  37. Jiang, Wei & Chen, Yunfei, 2024. "Impact of Russia-Ukraine conflict on the time-frequency and quantile connectedness between energy, metal and agricultural markets," Resources Policy, Elsevier, vol. 88(C).
  38. 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).
  39. Morelli, Giacomo, 2023. "Stochastic ordering of systemic risk in commodity markets," Energy Economics, Elsevier, vol. 117(C).
  40. 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.
  41. Kang, Sang Hoon & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2019. "Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1," Energy Economics, Elsevier, vol. 84(C).
  42. 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.
  43. 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.
  44. Tanaka, Tetsuji & Guo, Jin & Wang, Xiufang, 2023. "Did biofuel production strengthen the comovements between food and fuel prices? Evidence from ethanol-related markets in the United States," Renewable Energy, Elsevier, vol. 217(C).
  45. Cao, Yan & Cheng, Sheng & Li, Xinran, 2023. "How economic policy uncertainty affects asymmetric spillovers in food and oil prices: Evidence from wavelet analysis," Resources Policy, Elsevier, vol. 86(PB).
  46. Shahzad, Farrukh & Bouri, Elie & Mokni, Khaled & Ajmi, Ahdi Noomen, 2021. "Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility," Resources Policy, Elsevier, vol. 74(C).
  47. 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.
  48. Janda, Karel & Kravec, Peter, 2022. "VECM Modelling of the Price Dynamics for Fuels, Agricultural Commodities and Biofuels," EconStor Preprints 259404, ZBW - Leibniz Information Centre for Economics.
  49. Nagayev, Ruslan & Disli, Mustafa & Inghelbrecht, Koen & Ng, Adam, 2016. "On the dynamic links between commodities and Islamic equity," Energy Economics, Elsevier, vol. 58(C), pages 125-140.
  50. 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.
  51. Ahmed, Abdullahi D. & Huo, Rui, 2021. "Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China," Energy Economics, Elsevier, vol. 93(C).
  52. Hardik A. Marfatia & Qiang Ji & Jiawen Luo, 2022. "Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 383-404, March.
  53. Gong, Xu & Liu, Yun & Wang, Xiong, 2021. "Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method," International Review of Financial Analysis, Elsevier, vol. 76(C).
  54. Eissa, Mohamad Abdelaziz & Al Refai, Hisham, 2019. "Modelling the symmetric and asymmetric relationships between oil prices and those of corn, barley, and rapeseed oil," Resources Policy, Elsevier, vol. 64(C).
  55. Raza, Syed Ali & Guesmi, Khaled & Belaid, Fateh & Shah, Nida, 2022. "Time-frequency causality and connectedness between oil price shocks and the world food prices," Research in International Business and Finance, Elsevier, vol. 62(C).
  56. U, Tony Sio-Chong & Lin, Yongjia & Wang, Yizhi, 2024. "The impact of the Russia–Ukraine war on volatility spillovers," International Review of Financial Analysis, Elsevier, vol. 93(C).
  57. Ma, Yan-Ran & Ji, Qiang & Wu, Fei & Pan, Jiaofeng, 2021. "Financialization, idiosyncratic information and commodity co-movements," Energy Economics, Elsevier, vol. 94(C).
  58. Chishti, Muhammad Zubair & Khalid, Ali Awais & Sana, Moniba, 2023. "Conflict vs sustainability of global energy, agricultural and metal markets: A lesson from Ukraine-Russia war," Resources Policy, Elsevier, vol. 84(C).
  59. Elie Bouri & Imad Kachacha & Donald Lien & David Roubaud, 2017. "Short- and long-run causality across the implied volatility of crude oil and agricultural commodities," Economics Bulletin, AccessEcon, vol. 37(2).
  60. Manuel Landajo & María José Presno, 2022. "The prices of renewable commodities: a robust stationarity analysis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(2), pages 447-470, April.
  61. Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2020. "Commodity financialization and sector ETFs: Evidence from crude oil futures," Research in International Business and Finance, Elsevier, vol. 51(C).
  62. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
  63. Chen, Peng & He, Limin & Yang, Xuan, 2021. "On interdependence structure of China's commodity market," Resources Policy, Elsevier, vol. 74(C).
  64. Pal, Debdatta & Mitra, Subrata K., 2017. "Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis," Energy Economics, Elsevier, vol. 62(C), pages 230-239.
  65. Clement Oteng & Omowumi Iledare & Joshua Sebu, 2024. "Vulnerability of the Agricultural Commodity Markets in Ghana to Global Oil Price Fluctuations: An Empirical Analysis," SAGE Open, , vol. 14(1), pages 21582440231, March.
  66. Ting-Ting Sun & Chi-Wei Su & Ran Tao & Meng Qin, 2021. "Are Agricultural Commodity Prices on a Conventional Wisdom with Inflation?," SAGE Open, , vol. 11(3), pages 21582440211, August.
  67. Lucotte, Yannick, 2016. "Co-movements between crude oil and food prices: A post-commodity boom perspective," Economics Letters, Elsevier, vol. 147(C), pages 142-147.
  68. Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).
  69. Guo, Li-Yang & Feng, Chao, 2021. "Are there spillovers among China's pilots for carbon emission allowances trading?," Energy Economics, Elsevier, vol. 103(C).
  70. Luo, Jiawen & Marfatia, Hardik A. & Ji, Qiang & Klein, Tony, 2023. "Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets," Energy Economics, Elsevier, vol. 117(C).
  71. Mokni, Khaled & Ben-Salha, Ousama, 2020. "Asymmetric causality in quantiles analysis of the oil-food ‏ ‏nexus since the 1960s," Resources Policy, Elsevier, vol. 69(C).
  72. Wu, Fei & Zhao, Wan-Li & Ji, Qiang & Zhang, Dayong, 2020. "Dependency, centrality and dynamic networks for international commodity futures prices," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 118-132.
  73. Shokoohi, Zeinab & Saghaian, Sayed, 2022. "Nexus of energy and food nutrition prices in oil importing and exporting countries: A panel VAR model," Energy, Elsevier, vol. 255(C).
  74. Dervis Kirikkaleli & Hasan Güngör, 2021. "Co-movement of commodity price indexes and energy price index: a wavelet coherence approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-18, December.
  75. Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon & Jorge M. Uribe, 2017. "Dynamic Connectedness and Causality between Oil prices and Exchange Rates," Borradores de Economia 1025, Banco de la Republica de Colombia.
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