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Food, harvesting and interest rate nexus: Quantile investigation about dependencies and spillover

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  • Ghosh, Bikramaditya
  • Gubareva, Mariya
  • Ghosh, Anandita
  • Papadas, Dimitrios
  • Vo, Xuan Vinh

Abstract

The global food security issue intensifies during periods of stress. To delve deeper into this matter, our study examines dependencies and spillovers between food, harvesting, and interest rates using data from 2000 to 2023. Fed rate, meat, harvest, and sugar exhibit net shock receiver characteristics across both lower and upper extreme quantiles (Q0.1 & Q0.9). Conversely, cereals, dairy, and vegetable oils act as a net emitter across both lower and upper extreme quantiles (Q0.1 & Q0.9). Furthermore, cereals and vegetable oils are reciprocators across all quantiles. Our findings reveal that connectedness is notably weaker at Q0.5 indicating that median or mean-based connectedness metrics may disguise strong connectedness patterns, inherent to the extremes. The paper provides timely insights for investors and portfolio managers seeking optimal resources allocation during periods of high interest rates. It offers empirical evidence of time and quantile asymmetry in spillovers between food, harvesting, and interest rates.

Suggested Citation

  • Ghosh, Bikramaditya & Gubareva, Mariya & Ghosh, Anandita & Papadas, Dimitrios & Vo, Xuan Vinh, 2025. "Food, harvesting and interest rate nexus: Quantile investigation about dependencies and spillover," International Economics, Elsevier, vol. 182(C).
    • Handle: RePEc:eee:inteco:v:182:y:2025:i:c:s2110701725000162
    DOI: 10.1016/j.inteco.2025.100593
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    More about this item

    Keywords

    Food; Harvesting; Interest rate;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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