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Asymmetric risk spillovers between oil and agricultural commodities

Author

Listed:
  • Syed Jawad Hussain Shahzad
  • Jose Arreola Hernandez

    (ESC [Rennes] - ESC Rennes School of Business)

  • Khamis Hamed Al-Yahyaee
  • Rania Jammazi

Abstract

Increase in agricultural commodities' prices not only increases economic and social costs, it may also affect health, education and family ties. The dependence and risk transmission between oil prices and the price of agricultural commodities is subject to possible symmetric or asymmetric changes due to legislation in the farm sector in recent times. The objective of this study is to understand the extent to which oil as a global economic factor influences the price behavior of agricultural commodities such as wheat, maize, soybeans, and rice under adverse and prosperous market scenarios. We find evidence of symmetry in the tail dependence between variables, and of asymmetry in the spillovers from oil to agricultural commodities that intensify during financial turmoil. Policymakers and traders of agricultural commodities may benefit by considering the identified asymmetries in co-movements and risk spillovers.

Suggested Citation

  • Syed Jawad Hussain Shahzad & Jose Arreola Hernandez & Khamis Hamed Al-Yahyaee & Rania Jammazi, 2018. "Asymmetric risk spillovers between oil and agricultural commodities," Post-Print hal-01774528, HAL.
    • Handle: RePEc:hal:journl:hal-01774528
    DOI: 10.1016/j.enpol.2018.03.074
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    More about this item

    Keywords

    Oil prices; Agricultural commodities; Static and time-varying copulas; Risk spillovers; CoVaR;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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