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From Fields to Futures: Connectedness Among Edible Oil and Oilseeds- Where Soybean Leads, Others Follow

Author

Listed:
  • Nilotpal Sarma

    (Indian Institute of Technology (IIT) Kharagpur)

  • Priyanshu Tiwari

    (Indian Institute of Technology (IIT) Kanpur)

  • Prabina Rajib

    (Indian Institute of Technology (IIT) Kharagpur)

Abstract

The primary purpose of this paper is to analyze the connectedness between edible oils and oilseeds from various international commodity markets and the U.S. Economic Policy Uncertainty Index (EPU). The TVP-VAR method has been adopted in this paper to analyze the inter-commodity connectedness and spillover relationships among them. We also study how the effect on the price of one edible oil or oilseed affects other edible oils in the international markets. For this purpose, daily closing prices of near-month contracts of 6 edible oil commodities and the Economic Policy Uncertainty (EPU) index have been considered for a period that starts from January 2013 to April 2023. Results show a moderate level of connectedness among the edible oil and oilseed commodities; however, connectedness increases during times of economic or geopolitical crisis. Results also show that soybean is the most dominant commodity in the edible oil and oilseed commodity nexus, and rapeseed meal is the commodity with the lowest transmission power.

Suggested Citation

  • Nilotpal Sarma & Priyanshu Tiwari & Prabina Rajib, 2025. "From Fields to Futures: Connectedness Among Edible Oil and Oilseeds- Where Soybean Leads, Others Follow," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(2), pages 447-463, June.
    • Handle: RePEc:kap:apfinm:v:32:y:2025:i:2:d:10.1007_s10690-024-09458-7
    DOI: 10.1007/s10690-024-09458-7
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    More about this item

    Keywords

    TVP-VAR; Connectedness; Edible oils; EPU; Soybean;
    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
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy; Animal Welfare Policy

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