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Investigating the influence of energy dynamics on price forecasts in tropical and traditional agricultural futures markets

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  • Wei Zhang
  • Jiayi Wu
  • Shun Wang
  • Yong Zhang

Abstract

This research aims to investigate the intricate dynamics between energy futures prices and both tropical and traditional commodities futures prices, with a particular focus on the critical role of oil futures prices in predicting the trajectory of agricultural futures prices. The study employs the Dynamic Conditional Correlation-Multivariate Generalized Autoregressive Conditional Heteroskedasticity (DCC-MGARCH) model to analyse the interplay among oil and agricultural futures price series over 2008:01–2021:06. Additionally, it incorporates the innovative Spatio-temporal Information Recombination Hypergraph Neural Network (STIR-HGNN) model to highlight the differences in how energy futures prices predict tropical and traditional agricultural futures prices. The findings reveal numerous connections between oil prices and both tropical and traditional agricultural futures prices, underscoring the significant role of oil prices in forecasting agricultural futures price movements. The empirical insights from this study provide valuable guidance for futures market participants, encouraging them to use these findings to refine and optimize their market strategies, thus enhancing their ability to navigate and capitalize on the complexities of these interconnected markets.

Suggested Citation

  • Wei Zhang & Jiayi Wu & Shun Wang & Yong Zhang, 2026. "Investigating the influence of energy dynamics on price forecasts in tropical and traditional agricultural futures markets," Applied Economics Letters, Taylor & Francis Journals, vol. 33(4), pages 473-482, February.
    • Handle: RePEc:taf:apeclt:v:33:y:2026:i:4:p:473-482
    DOI: 10.1080/13504851.2024.2373332
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