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Applied Economics Volume 52, 2020 - Issue 49
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Research Article

Time-frequency dynamics of return spillover from crude oil to agricultural commodities

Debdatta Pala Indian Institute of Management Lucknow, Lucknow, India
&
Subrata Kumar Mitrab Institute of Management Technology Nagpur, Nagpur, IndiaCorrespondence[email protected]
Pages 5426-5445 | Published online: 02 Jul 2020

Citations (27)

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Read on this site (3)

Debdatta Pal. (2024) The Distribution of Commodity Futures: A Test of the Generalized Hyperbolic Process. Applied Economics 56:15, pages 1763-1783.
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Jin Chen, Yue Chen, Qinen Gu & Wei Zhou. (2023) Network evolution underneath the volatility spillover in traditional and clean energy markets. Applied Economics 55:58, pages 6905-6921.
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Zhige Wu, Alfons Weersink & Alex Maynard. (2022) Fuel-feed-livestock price linkages under structural changes. Applied Economics 54:2, pages 206-223.
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Articles from other publishers (24)

Subrata K. Mitra & Debdatta Pal. (2024) Role of Crude Oil in Determining the Price of Corn in the United States: A Non-parametric Approach. Journal of Quantitative Economics.
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Changsong Wu, Dequn Zhou & Donglan Zha. (2022) The interplay of the carbon market, the tradable green certificate market, and electricity market in South Korea: Dynamic transmission and spillover effects. Energy & Environment 35:1, pages 163-184.
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You Wu, Wenting Ren, Yang Xiong, Gang Cao, Peng Liang & Wenzhi Zeng. (2024) Return and volatility connectedness among carbon and energy markets based on time- and frequency-domain approaches. Frontiers in Environmental Science 11.
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Jieru Wan, Libo Yin & You Wu. (2024) Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis. International Review of Economics & Finance 89, pages 397-428.
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Ferhat PEHLİVANOĞLU, Zeynep NARMAN, Mehmet Emin YARDIMCI & Nizamülmülk GÜNEŞ. (2023) Estimation the Relationship Between Crude Oil and Selected Food ProductsHam Petrol ve Seçilmiş Gıda Ürünleri Arasındaki İlişkinin Tahmini. Tarım Ekonomisi Dergisi 29:2, pages 93-105.
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Faten Darwez, Farea Alharbi, Adel Ifa, Samah Bayomei, Engy Mostfa, Abdalwali Lutfi, Mohammed Abu haya & Mahmaod Alrawad. (2023) Assessing the Impact of Oil Price Volatility on Food Prices in Saudi Arabia: Insights From Nonlinear Autoregressive Distributed Lags (NARDL) Analysis. ECONOMICS 11:2, pages 5-23.
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You Wu, Wenting Ren, Jieru Wan & Xiaoxue Liu. (2023) Time-frequency volatility connectedness between fossil energy and agricultural commodities: Comparing the COVID-19 pandemic with the Russia-Ukraine conflict. Finance Research Letters 55, pages 103866.
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Prachi Jain & Debasish Maitra. (2023) Is there commodity connectedness across investment horizons? Evidence using news-based uncertainty indices. Economics Letters 225, pages 111025.
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Mohammad Alomari, Walid Mensi, Xuan Vinh Vo & Sang Hoon Kang. (2022) Extreme return spillovers and connectedness between crude oil and precious metals futures markets: Implications for portfolio management. Resources Policy 79, pages 103113.
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Seong-Min Yoon. (2022) On the interdependence between biofuel, fossil fuel and agricultural food prices: Evidence from quantile tests. Renewable Energy 199, pages 536-545.
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Noureddine Benlagha, Sitara Karim, Muhammad Abubakr Naeem, Brian M. Lucey & Samuel A. Vigne. (2022) Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries. Energy Economics 115, pages 106348.
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Wei Jiang, Ruijie Gao & Chao Lu. (2022) The Analysis of Causality and Risk Spillover between Crude Oil and China’s Agricultural Futures. International Journal of Environmental Research and Public Health 19:17, pages 10593.
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Zhuo Chen, Bo Yan & Hanwen Kang. (2022) Dynamic correlation between crude oil and agricultural futures markets. Review of Development Economics 26:3, pages 1798-1849.
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Muhammad Abubakr Naeem, Sitara Karim, Mudassar Hasan, Brian M. Lucey & Sang Hoon Kang. (2022) Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain. Energy Economics 112, pages 106148.
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Adil Ahmad Shah & Arif Billah Dar. (2022) Asymmetric, time and frequency-based spillover transmission in financial and commodity markets. The Journal of Economic Asymmetries 25, pages e00241.
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Jinxin Cui & Huiwen Zou. (2022) Coherence, Connectedness, Dynamic Linkages Among Oil and China’s Sectoral Commodities with Portfolio Implications. Journal of Systems Science and Complexity 35:3, pages 1052-1097.
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Muhammad Abubakr Naeem, Linh Pham, Arunachalam Senthilkumar & Sitara Karim. (2022) Oil shocks and BRIC markets: Evidence from extreme quantile approach. Energy Economics 108, pages 105932.
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Yan Cao & Sheng Cheng. (2021) Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices. Resources Policy 74, pages 102364.
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Adil Ahmad Shah & Arif Billah Dar. (2021) Exploring diversification opportunities across commodities and financial markets: Evidence from time-frequency based spillovers. Resources Policy 74, pages 102317.
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Karel Janda, Ladislav Krištoufek, Barbora Schererová & David Zilberman. (2021) Price transmission in biofuel-related global agricultural networks. Agricultural Economics (Zemědělská ekonomika) 67:10, pages 399-408.
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TRINH QUANG LONG, LAN HOANG NGUYEN & PETER J. MORGAN. (2021) DYNAMIC CONNECTEDNESS OF FINANCIAL STRESS ACROSS ADVANCED AND EMERGING ECONOMIES: EVIDENCE FROM TIME AND FREQUENCY DOMAINS. The Singapore Economic Review, pages 1-40.
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David Oluseun Olayungbo. (2021) Global oil price and food prices in food importing and oil exporting developing countries: A panel ARDL analysis. Heliyon 7:3, pages e06357.
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Xu Gong, Rong Shi, Jun Xu & Boqiang Lin. (2021) Analyzing spillover effects between carbon and fossil energy markets from a time-varying perspective. Applied Energy 285, pages 116384.
Crossref
Muhammad Abubakr Naeem, Sitara Karim, Mudassar Hasan & Sanghoon Kang. (2022) Nexus between Oil Shocks and Agriculture Commodities: Evidence from Time and Frequency Domain. SSRN Electronic Journal.
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