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Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis

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  • Siaw Frimpong
  • Emmanuel N. Gyamfi
  • Zangina Ishaq
  • Samuel Kwaku Agyei
  • Daniel Agyapong
  • Anokye M. Adam
  • François Pérés

Abstract

This paper employed wavelet coherence and partial wavelet coherence to investigate the time-frequency effect of global economic policy uncertainty on the comovement of five agricultural commodities such as maize, oat, rice, soybean, and wheat using monthly data from January 1997 to December 2019. In general, we observed heterogeneity in comovement structures of the agricultural commodities market at different time-frequency scales which are profound at high frequencies from the bivariate wavelet coherence. The partial wavelet coherence analysis shows that global economic policy uncertainty is a driver of agricultural commodity market connectedness. This implies that extreme changes in economic policy uncertainty have the tendency to influence commodity price comovement. This poses risk to the stability of the agricultural commodities market, which requires the policymaker’s intervention to protect against the spillover risk contagion effect in uncertain times.

Suggested Citation

  • Siaw Frimpong & Emmanuel N. Gyamfi & Zangina Ishaq & Samuel Kwaku Agyei & Daniel Agyapong & Anokye M. Adam & François Pérés, 2021. "Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis," Complexity, Hindawi, vol. 2021, pages 1-13, June.
    • Handle: RePEc:hin:complx:8848424
    DOI: 10.1155/2021/8848424
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    Cited by:

    1. Boateng, Ebenezer & Asafo-Adjei, Emmanuel & Addison, Alex & Quaicoe, Serebour & Yusuf, Mawusi Ayisat & Abeka, Mac Junior & Adam, Anokye M., 2022. "Interconnectedness among commodities, the real sector of Ghana and external shocks," Resources Policy, Elsevier, vol. 75(C).
    2. Junguo Hua & Hui Li & Zejun He & Jing Ding & Futong Jin, 2022. "The Microcosmic Mechanism and Empirical Test of Uncertainty on the Non-Linear Fluctuation of Chinese Grain Prices-Based on the Perspective of Global Economic Policy Uncertainty," Agriculture, MDPI, vol. 12(10), pages 1-17, September.
    3. Bani-Khalaf, Omar & Taspinar, Nigar, 2022. "Oil and gold return spillover and stock market elasticity during COVID-19 pandemic: A comparative study between the stock markets of oil-exporting countries and oil-importing countries in the Middle E," Resources Policy, Elsevier, vol. 79(C).
    4. Chi-Wei Su & Kai-Hua Wang & Oana-Ramona Lobonţ & Meng Qin, 2023. "Continuous Wavelet Transform of Time-Frequency Analysis Technique to Capture the Dynamic Hedging Ability of Precious Metals," Mathematics, MDPI, vol. 11(5), pages 1-18, February.
    5. Bossman, Ahmed & Agyei, Samuel Kwaku, 2022. "Interdependence structure of global commodity classes and African equity markets: A vector wavelet coherence analysis," Resources Policy, Elsevier, vol. 79(C).
    6. Mourad Zmami & Ousama Ben-Salha, 2023. "What factors contribute to the volatility of food prices? New global evidence," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(5), pages 171-184.

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