IDEAS home Printed from https://ideas.repec.org/a/taf/recsxx/v25y2022i1p644-662.html
   My bibliography  Save this article

Modelling time and frequency connectedness among energy, agricultural raw materials and food markets

Author

Listed:
  • Musefiu Adebowale Adeleke
  • Olabanji Benjamin Awodumi

Abstract

The study analyzes volatility connectedness of energy, agricultural raw materials and food markets for both time and frequency domains (January 1960 to August 2020). The DY and BK approaches are adopted at both commodity-group and sub-group levels. Time domain estimates indicate that the energy market produced more risk spillover in the food market than raw material market. Rubber contributes the largest to spillover in the crude oil and sugar markets. Estimates from frequency domain reveal that raw material and food markets are net transmitter and net recipient of volatility spillover, respectively, at the lowest and highest frequency domains. Crude oil is the largest source of spillover in the tobacco, meat and natural gas markets in the high-frequency band. Finally, the meat and crude oil markets are the largest receiver of shock spillover from all other markets over the low- and high-frequency bands, respectively. Policy implications are derived from the findings.

Suggested Citation

  • Musefiu Adebowale Adeleke & Olabanji Benjamin Awodumi, 2022. "Modelling time and frequency connectedness among energy, agricultural raw materials and food markets," Journal of Applied Economics, Taylor & Francis Journals, vol. 25(1), pages 644-662, December.
    • Handle: RePEc:taf:recsxx:v:25:y:2022:i:1:p:644-662
    DOI: 10.1080/15140326.2022.2056300
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/15140326.2022.2056300
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/15140326.2022.2056300?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
    2. Evžen Kočenda & Michala Moravcová & Evžen Kocenda, 2024. "Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities," CESifo Working Paper Series 10889, CESifo.
    3. Anna Szczepańska-Przekota, 2023. "Are Small Agricultural Markets Recipients of World Prices? The Case of Poland," Agriculture, MDPI, vol. 13(6), pages 1-16, June.
    4. Adeleke, Musefiu A. & Awodumi, Olabanji B. & Adewuyi, Adeolu O., 2022. "Return and volatility connectedness among commodity markets during major crises periods: Static and dynamic analyses with asymmetries," Resources Policy, Elsevier, vol. 79(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:recsxx:v:25:y:2022:i:1:p:644-662. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/recs .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.