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Exploring dynamic extreme dependence of oil and agricultural markets

Author

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  • Kisswani, Khalid M.
  • Lahiani, Amine
  • Fikru, Mahelet G.

Abstract

This study examines the dynamic extreme dependence between oil markets and a set of non-exploited agricultural assets (Barley, coffee, maize, rice, sorghum, sugar, wheat) prices using 1990–2023 monthly prices data. Our time-varying copula models allow us to investigate nonlinear and asymmetric dependence between pairwise assets. We find evidence of positive exceedance correlation at small and medium quantiles/thresholds and negative exceedance correlation for quantiles higher than 0.6 for five out of seven food assets. Findings also indicate a tent-shaped quantile dependence for all food assets and demonstrate a time variation in the association path between oil and food asset returns. Important policy implications are derived from empirical findings.

Suggested Citation

  • Kisswani, Khalid M. & Lahiani, Amine & Fikru, Mahelet G., 2025. "Exploring dynamic extreme dependence of oil and agricultural markets," International Review of Economics & Finance, Elsevier, vol. 99(C).
    • Handle: RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001959
    DOI: 10.1016/j.iref.2025.104032
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    More about this item

    Keywords

    Oil price; Food price; Copula; Co-movement;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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