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Importance of geopolitical risk in volatility structure: New evidence from biofuels, crude oil, and grains commodity markets

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  • Karkowska, Renata
  • Urjasz, Szczepan

Abstract

This paper aims to explore the complex linkages and evolving structure of price volatility in the global oil, biofuels, and grain commodity markets during periods of global turbulence. With the growing urgency for energy stability amid climate change, biofuels are gaining traction as a viable alternative energy source. However, their production can significantly impact essential commodities like grains and vegetable oils, increasing food prices and heightened market volatility. We introduced a TVP-VAR frequency connectedness method to address this, analyzing data from January 1, 2013, to September 29, 2023. Our approach offers a fresh perspective on market dynamics and geopolitical risks.

Suggested Citation

  • Karkowska, Renata & Urjasz, Szczepan, 2024. "Importance of geopolitical risk in volatility structure: New evidence from biofuels, crude oil, and grains commodity markets," Journal of Commodity Markets, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:jocoma:v:36:y:2024:i:c:s240585132400059x
    DOI: 10.1016/j.jcomm.2024.100440
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    More about this item

    Keywords

    Biofuels; Frequency connectedness; Volatility spillover; Russia-Ukraine war; TVP-VAR;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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