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Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis

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Cited by:

  1. 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).
  2. Das, Debojyoti & Bhatia, Vaneet & Kumar, Surya Bhushan & Basu, Sankarshan, 2022. "Do precious metals hedge crude oil volatility jumps?," International Review of Financial Analysis, Elsevier, vol. 83(C).
  3. Shrestha, Anil & Kakinaka, Makoto, 2023. "Nexus between renewable energy certificates and electricity prices in India: Evidence from wavelet coherence analysis," Renewable Energy, Elsevier, vol. 204(C), pages 836-847.
  4. Mourad Zmami & Ousama Ben-Salha, 2019. "Does Oil Price Drive World Food Prices? Evidence from Linear and Nonlinear ARDL Modeling," Economies, MDPI, vol. 7(1), pages 1-18, February.
  5. Liu, Haiying & Pata, Ugur Korkut & Zafar, Muhammad Wasif & Kartal, Mustafa Tevfik & Karlilar, Selin & Caglar, Abdullah Emre, 2023. "Do oil and natural gas prices affect carbon efficiency? Daily evidence from China by wavelet transform-based approaches," Resources Policy, Elsevier, vol. 85(PB).
  6. Rubbaniy, Ghulame & Khalid, Ali Awais & Syriopoulos, Konstantinos & Samitas, Aristeidis, 2022. "Safe-haven properties of soft commodities during times of Covid-19," Journal of Commodity Markets, Elsevier, vol. 27(C).
  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. 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.
  9. Kondoz, Mehmet & Kirikkaleli, Dervis & Athari, Seyed Alireza, 2021. "Time-frequency dependencies of financial and economic risks in South American countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 170-181.
  10. Claudiu Albulescu & Aviral Tiwari & Qiang Ji, 2020. "Copula-based local dependence between energy, agriculture and metal commodity markets," Papers 2003.04007, arXiv.org.
  11. 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.
  12. Tomiwa Sunday Adebayo & Kelvin Onyibor & Gbenga Daniel Akinsola, 2021. "The impact of major macroeconomic variables on foreign direct investment in Nigeria: evidence from a wavelet coherence technique," SN Business & Economics, Springer, vol. 1(1), pages 1-24, January.
  13. Guo, Jin & Tanaka, Tetsuji, 2022. "Energy security versus food security: An analysis of fuel ethanol- related markets using the spillover index and partial wavelet coherence approaches," Energy Economics, Elsevier, vol. 112(C).
  14. Karim, Muhammad Mahmudul & Kawsar, Najmul Haque & Ariff, Mohamed & Masih, Mansur, 2022. "Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  15. Kocak, Emrah & Bilgili, Faik & Bulut, Umit & Kuskaya, Sevda, 2022. "Is ethanol production responsible for the increase in corn prices?," Renewable Energy, Elsevier, vol. 199(C), pages 689-696.
  16. Xin Zhao & Muhammad Saeed Meo & Tella Oluwatoba Ibrahim & Noshaba Aziz & Solomon Prince Nathaniel, 2023. "Impact of Economic Policy Uncertainty and Pandemic Uncertainty on International Tourism: What do We Learn From COVID-19?," Evaluation Review, , vol. 47(2), pages 320-349, April.
  17. Sabit Baimaganbetov & Dinmukhamed Kelesbayev & Gulzhan Baibosynova & Rima Yermankulova & Botagoz Dandayeva, 2021. "The Impact of Oil Prices on the Food Inflation in Kazakhstan," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 73-79.
  18. Ji, Qiang & Bouri, Elie & Roubaud, David & Shahzad, Syed Jawad Hussain, 2018. "Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model," Energy Economics, Elsevier, vol. 75(C), pages 14-27.
  19. Loretta Mastroeni & Alessandro Mazzoccoli & Greta Quaresima & Pierluigi Vellucci, 2021. "Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect," Papers 2104.11891, arXiv.org, revised Mar 2022.
  20. 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).
  21. Mishra, Shekhar & Sharif, Arshian & Khuntia, Sashikanta & Meo, Muhammad Saeed & Rehman Khan, Syed Abdul, 2019. "Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach," Resources Policy, Elsevier, vol. 62(C), pages 292-304.
  22. Bhanja, Niyati, 2017. "Gold and Stock Prices- A Tale of two Crises in the United States," Conference papers 332824, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
  23. Xiangcai Meng, 2018. "Does Agricultural Commodity Price Co-move with Oil Price in the Time-Frequency Space? Evidence from the Republic of Korea," International Journal of Energy Economics and Policy, Econjournals, vol. 8(4), pages 125-133.
  24. 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.
  25. Tan Ngoc Vu & Chi Minh Ho & Thang Cong Nguyen & Duc Hong Vo, 2020. "The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach," Agriculture, MDPI, vol. 10(4), pages 1-14, April.
  26. Kirikkaleli, Dervis & Athari, Seyed Alireza, 2020. "Time-frequency co-movements between bank credit supply and economic growth in an emerging market: Does the bank ownership structure matter?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  27. 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.
  28. Dervis Kirikkaleli, 2019. "Time–frequency dependency of financial risk and economic risk: evidence from Greece," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 8(1), pages 1-10, December.
  29. Aloui, Riadh & Ben Jabeur, Sami & Rezgui, Hichem & Ben Arfi, Wissal, 2023. "Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach," Resources Policy, Elsevier, vol. 85(PB).
  30. Cheng, Natalie Fang Ling & Hasanov, Akram Shavkatovich & Poon, Wai Ching & Bouri, Elie, 2023. "The US-China trade war and the volatility linkages between energy and agricultural commodities," Energy Economics, Elsevier, vol. 120(C).
  31. Fan He & Xuansen He, 2019. "A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 729-761, August.
  32. Naeem, Muhammad Abubakr & Peng, Zhe & Bouri, Elie & Hussain Shahzad, Syed Jawad & Karim, Sitara, 2022. "Examining the asymmetries between equity and commodity ETFs during COVID-19," Resources Policy, Elsevier, vol. 79(C).
  33. Pal, Debdatta & Mitra, Subrata K., 2019. "Hedging bitcoin with other financial assets," Finance Research Letters, Elsevier, vol. 30(C), pages 30-36.
  34. Dervis Kirikkaleli & Ibrahim Darbaz, 2021. "The Causal Linkage between Energy Price and Food Price," Energies, MDPI, vol. 14(14), pages 1-13, July.
  35. 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).
  36. Kang, Sang Hoon & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2019. "Time-frequency co-movements between the largest nonferrous metal futures markets," Resources Policy, Elsevier, vol. 61(C), pages 393-398.
  37. 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.
  38. 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).
  39. Karel Janda & Ladislav Krištoufek & Barbora Schererová & David Zilberman, 2021. "Price transmission in biofuel-related global agricultural networks," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(10), pages 399-408.
  40. 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).
  41. Cheng Xin & Kailin Ji & Hao Chang & Yang Li & Ya-Qiong Liu, 2022. "Price Co-Movement between Electrical Equipment and Metal Commodities—A Time-Frequency Analysis," Sustainability, MDPI, vol. 14(20), pages 1-18, October.
  42. 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.
  43. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2022. "The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system," Energy Economics, Elsevier, vol. 114(C).
  44. Ma, Qiang & Zhang, Mei & Ali, Sher & Kirikkaleli, Dervis & Khan, Zeeshan, 2021. "Natural resources commodity prices volatility and economic performance: Evidence from China pre and post COVID-19," Resources Policy, Elsevier, vol. 74(C).
  45. 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.
  46. Adebayo, Tomiwa Sunday, 2021. "Testing the EKC Hypothesis in Indonesia: Empirical Evidence from the ARDL-Based Bounds and Wavelet Coherence Approaches," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 28(1).
  47. Syahril Syahril & Arie Saputra & Irmayani Irmayani & Mirdha Fahlevi & Yenni Ertika & Said Mahdani, 2022. "World Vegetable Soil Competition in 1960-2019," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 108-115, May.
  48. Muhammad Abubakr Naeem & Saqib Farid & Safwan Mohd Nor & Syed Jawad Hussain Shahzad, 2021. "Spillover and Drivers of Uncertainty among Oil and Commodity Markets," Mathematics, MDPI, vol. 9(4), pages 1-26, February.
  49. Naeem, Muhammad Abubakr & Karim, Sitara & Hasan, Mudassar & Lucey, Brian M. & Kang, Sang Hoon, 2022. "Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain," Energy Economics, Elsevier, vol. 112(C).
  50. Bai, Xiwen, 2021. "Tanker freight rates and economic policy uncertainty: A wavelet-based copula approach," Energy, Elsevier, vol. 235(C).
  51. Cao, Yan & Cheng, Sheng, 2021. "Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices," Resources Policy, Elsevier, vol. 74(C).
  52. Qian, Lihua & Zeng, Qing & Li, Tao, 2022. "Geopolitical risk and oil price volatility: Evidence from Markov-switching model," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 29-38.
  53. 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).
  54. Zhang, Feng & Huang, Yongming & Nan, Xiaoli, 2022. "The price volatility of natural resource commodity and global economic policy uncertainty: Evidence from US economy," Resources Policy, Elsevier, vol. 77(C).
  55. Wang, Kai-Hua & Kan, Jia-Min & Qiu, Lianhong & Xu, Shulin, 2023. "Climate policy uncertainty, oil price and agricultural commodity: From quantile and time perspective," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 256-272.
  56. Ma, Qiang & Khan, Zeeshan & Chen, Fuzhong & Murshed, Muntasir & Siqun, Yang & Kirikkaleli, Dervis, 2023. "Revisiting the nexus between house pricing and money demand: Power spectrum and wavelet coherence based approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 266-274.
  57. Wei Su, Chi & Wang, Xiao-Qing & Tao, Ran & Oana-Ramona, Lobonţ, 2019. "Do oil prices drive agricultural commodity prices? Further evidence in a global bio-energy context," Energy, Elsevier, vol. 172(C), pages 691-701.
  58. Das, Debojyoti & Kannadhasan, M., 2020. "The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 563-581.
  59. Dervis Kirikkaleli & Bugra Ozbeser, 2023. "Government Expenditures and Tax Revenues in the United States of America," SAGE Open, , vol. 13(1), pages 21582440231, March.
  60. Liu, Wenwen & Chen, Xue, 2022. "Natural resources commodity prices volatility and economic uncertainty: Evaluating the role of oil and gas rents in COVID-19," Resources Policy, Elsevier, vol. 76(C).
  61. Yıldırım, Durmuş Çağrı & Cevik, Emrah Ismail & Esen, Ömer, 2020. "Time-varying volatility spillovers between oil prices and precious metal prices," Resources Policy, Elsevier, vol. 68(C).
  62. Chowdhury, Mohammad Ashraful Ferdous & Meo, Muhammad Saeed & Uddin, Ajim & Haque, Md. Mahmudul, 2021. "Asymmetric effect of energy price on commodity price: New evidence from NARDL and time frequency wavelet approaches," Energy, Elsevier, vol. 231(C).
  63. Noman, Abu Hanifa Md & Karim, Muhammad Mahmudul & Hassan, Mohammad Kabir & Khan, Muhammad Asif & Pervin, Sajeda, 2023. "COVID-19 pandemic and the dynamics of major investable assets: What gives shelter to investors?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 14-30.
  64. Cui, Lianbiao & Weng, Shimei & Kirikkaleli, Dervis & Bashir, Muhammad Adnan & Rjoub, Husam & Zhou, Yuanxiang, 2021. "Exploring the role of natural resources, natural gas and oil production for economic growth of China," Resources Policy, Elsevier, vol. 74(C).
  65. Dong, Minyi & Chang, Chun-Ping & Gong, Qiang & Chu, Yin, 2019. "Revisiting global economic activity and crude oil prices: A wavelet analysis," Economic Modelling, Elsevier, vol. 78(C), pages 134-149.
  66. Umar Muhammad Gummi & Yang Rong & Utiya Bello & Abdulhamid Sillah Umar & Asiya Mu'azu, 2021. "On the Analysis of Food and Oil Markets in Nigeria: What Prices Tell Us from Asymmetric and Partial Structural Change Modeling?," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 52-64.
  67. Li, Menghan & Hamawandy, Nawzad Majeed & Wahid, Fazle & Rjoub, Husam & Bao, Zongke, 2021. "Renewable energy resources investment and green finance: Evidence from China," Resources Policy, Elsevier, vol. 74(C).
  68. Dar, Arif Billah & Bhanja, Niyati & Paul, Manas, 2019. "Do gold mining stocks behave like gold or equities? Evidence from the UK and the US," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 369-384.
  69. Ayhan Orhan & Dervis Kirikkaleli & Fatih Ayhan, 2019. "Analysis of Wavelet Coherence: Service Sector Index and Economic Growth in an Emerging Market," Sustainability, MDPI, vol. 11(23), pages 1-12, November.
  70. Mastroeni, Loretta & Mazzoccoli, Alessandro & Quaresima, Greta & Vellucci, Pierluigi, 2022. "Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect," Resources Policy, Elsevier, vol. 77(C).
  71. Ding Chen & Umar Muhammad Gummi & Shan-Bing Lu & Asiya Mu'azu, 2020. "Modelling the impact of oil price fluctuations on food price in high and low-income oil exporting countries," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 66(10), pages 458-468.
  72. 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.
  73. Nini Johana Marín-Rodríguez & Juan David González-Ruiz & Alejandro Valencia-Arias, 2023. "Sustainability, Uncertainty, and Risk: Time-Frequency Relationships," Sustainability, MDPI, vol. 15(18), pages 1-18, September.
  74. Yahya, Muhammad & Kanjilal, Kakali & Dutta, Anupam & Uddin, Gazi Salah & Ghosh, Sajal, 2021. "Can clean energy stock price rule oil price? New evidences from a regime-switching model at first and second moments," Energy Economics, Elsevier, vol. 95(C).
  75. 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).
  76. Dervis Kirikkaleli, 2020. "Does political risk matter for economic and financial risks in Venezuela?," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-10, December.
  77. 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.
  78. Husam Rjoub & Jamiu Adetola Odugbesan & Tomiwa Sunday Adebayo & Wing-Keung Wong, 2021. "Investigating the Causal Relationships among Carbon Emissions, Economic Growth, and Life Expectancy in Turkey: Evidence from Time and Frequency Domain Causality Techniques," Sustainability, MDPI, vol. 13(5), pages 1-20, March.
  79. Mourad Zmami & Ousama Ben-Salha, 2023. "What factors contribute to the volatility of food prices? New global evidence," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(5), pages 171-184.
  80. Yue-Jun Zhang & Shu-Hui Li, 2019. "The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach," Quantitative Finance, Taylor & Francis Journals, vol. 19(8), pages 1357-1371, August.
  81. Yahya, Muhammad & Oglend, Atle & Dahl, Roy Endré, 2019. "Temporal and spectral dependence between crude oil and agricultural commodities: A wavelet-based copula approach," Energy Economics, Elsevier, vol. 80(C), pages 277-296.
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