IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-03998215.html
   My bibliography  Save this paper

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
  • 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
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-03998215. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.