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Quantile VAR connectedness and price spillovers between soybean and energy

Author

Listed:
  • Das, Narasingha
  • Tanin, Tauhidul Islam
  • Gangopadhyay, Partha
  • Abbas, Qaiser
  • Akadiri, Seyi Saint
  • Janjua, Laeeq Razzak

Abstract

We analyze the relationship between US energy (i.e., crude oil, diesel, gasoline, and ethanol) and soybean prices using monthly data from 2005 to 2024. Using a quantile VAR connectedness model, we examine the interplay between energy and food prices across different quantiles. Our findings show that 96 % of the volatility in the network of fossil fuel, biofuel, and food prices is driven by changes in this network. Crude oil and ethanol prices primarily transmit shocks that influence soybean prices, whereas soybean price changes impact ethanol prices, creating feedback mechanisms. Soybean and gasoline prices showed the most significant shocks in the nexus. Our study reveals the dynamic feedback between prices and their interaction within the network, contributing to the understanding of the consequences of biofuels as a clean energy source. Rigorous robustness tests using cross-quantilogram and wavelet quantile correlation validate our findings, offering insights for policymakers managing energy and food price fluctuations.

Suggested Citation

  • Das, Narasingha & Tanin, Tauhidul Islam & Gangopadhyay, Partha & Abbas, Qaiser & Akadiri, Seyi Saint & Janjua, Laeeq Razzak, 2025. "Quantile VAR connectedness and price spillovers between soybean and energy," Energy Economics, Elsevier, vol. 149(C).
    • Handle: RePEc:eee:eneeco:v:149:y:2025:i:c:s0140988325006012
    DOI: 10.1016/j.eneco.2025.108774
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    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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