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Investigating the spillovers between energy, food, and agricultural commodity markets: New insights from the quantile coherency approach

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  • Khalfaoui, Rabeh
  • Shahzad, Umer
  • Ghaemi Asl, Mahdi
  • Ben Jabeur, Sami

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

  • Khalfaoui, Rabeh & Shahzad, Umer & Ghaemi Asl, Mahdi & Ben Jabeur, Sami, 2023. "Investigating the spillovers between energy, food, and agricultural commodity markets: New insights from the quantile coherency approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 63-80.
    • Handle: RePEc:eee:quaeco:v:88:y:2023:i:c:p:63-80
    DOI: 10.1016/j.qref.2022.12.006
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    More about this item

    Keywords

    Energy; Food; Agricultural commodity; Co-movements; Quantile coherency;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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