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Time-varying relationship between geopolitical uncertainty and agricultural investment

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  • Jana, Rabin K.
  • Ghosh, Indranil

Abstract

This paper explores the relationship between Geopolitical Uncertainty (GPU) and agricultural investment. We apply wavelet-based techniques to capture the relationship at different time dimensions and explore the causal structure between the GPU and select indices from the agricultural market of the USA. We find that the GPU influences investment in agricultural spot markets in the medium run. The futures market investment is less susceptible to GPU than the spot counterparts. A clear shift in interplay is visible during the COVID-19 pandemic and the ongoing Russia-Ukraine conflict. The results can offer diversification benefits and mitigate risk in distress and volatile periods.

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  • Jana, Rabin K. & Ghosh, Indranil, 2023. "Time-varying relationship between geopolitical uncertainty and agricultural investment," Finance Research Letters, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006973
    DOI: 10.1016/j.frl.2022.103521
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    More about this item

    Keywords

    Geopolitical uncertainty; Agricultural investment; Wavelet coherence; Wavelet causality;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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