Deprecated: Implicit conversion from float 217.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534
Deprecated: Implicit conversion from float 217.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534
Deprecated: Implicit conversion from float 217.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534
Deprecated: Implicit conversion from float 217.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534 PLoS+One 2021 ; 16 (2): e0246886 Nephropedia Template TP
gab.com Text
Twit Text FOAVip
Twit Text #
English Wikipedia
Return and volatility transmission between oil price shocks and agricultural commodities #MMPMID33606770
Umar Z; Gubareva M; Naeem M; Akhter A
PLoS One 2021[]; 16 (2): e0246886 PMID33606770show ga
This paper studies the connectedness between oil price shocks and agricultural commodities. Our sample period ranges from January 2002 to July 2020, covering the three global crises; Global Financial Crisis, the European sovereign debt crisis and Covid-19 pandemic crisis. We employ Granger causality tests, and the static and dynamic connectedness spillover index methodology. We find that the shocks in oil prices are Granger-caused mainly by price changes of grains, live cattle, and wheat, while supply shock granger causes variations mostly in grain prices. We find that, from the point of view of static connectedness, for both, price and volatility spillovers, the livestock is the largest transmitter, while the lean hogs are the major receiver. Our dynamic analysis evidences that connectedness increases during the financial crisis period. Our results are potentially useful for investors, portfolios managers and policy makers.