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

References

• Abdelradi, F., and T. Serra. 2015. “Asymmetric Price Volatility Transmission between Food and Energy Markets: The Case of Spain.” Agricultural Economics 46 (4): 503–513. doi:10.1111/agec.12177.
   Web of Science ®Google Scholar
• Ahmadi, M., N. B. Behmiri, and M. Manera. 2016. “How Is Volatility in Commodity Markets Linked to Oil Price Shocks?” Energy Economics 59 (7): 11–23. doi:10.1016/j.eneco.2016.07.006.
   Web of Science ®Google Scholar
• Allen, D. E., C. Chang, M. McAleer, and A. K. Singh. 2018. “A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot, and Futures Prices.” Applied Economics 50: 804–823. doi:10.1080/00036846.2017.1340581.
   Web of Science ®Google Scholar
• Al-Maadid, A., G. M. Caporalea, and F. Spagnolo. 2017. “Spillovers between Food and Energy Prices and Structural Breaks.” International Economics 150: 1–18. doi:10.1016/j.inteco.2016.06.005.
   Google Scholar
• Bai, J., and P. Perron. 1998. “Estimating and Testing Linear Models with Multiple Structural Changes.” Econometrica 66 (1): 47–78. doi:10.2307/2998540.
   Web of Science ®Google Scholar
• Bai, J., and P. Perron. 2003. “Computation and Analysis of Multiple Structural Change Models.” Journal of Applied Econometrics 18 (1): 1–22. doi:10.1002/jae.659.
   Web of Science ®Google Scholar
• Baruník, J., and T. Krehlík. 2018. “Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.” Journal of Financial Econometrics 16 (2): 271–296. doi:10.1093/jjfinec/nby001.
   Web of Science ®Google Scholar
• Batten, J. A., C. Ciner, and B. M. Lucey. 2015. “Which Precious Metals Spill over on Which, When and Why? Some Evidence.” Applied Economics Letters 22 (6): 466–473. doi:10.1080/13504851.2014.950789.
   Web of Science ®Google Scholar
• Baumeister, C., and L. Kilian. 2014. “Do Oil Price Increases Cause Higher Food Prices?” Economic Policy 29 (80): 691–747. doi:10.1111/1468-0327.12039.
   Web of Science ®Google Scholar
• Bouri, E., N. Jalkh, P. Molnár, and D. Roubaud. 2017. “Bitcoin for Energy Commodities before and after the December 2013 Crash: Diversifier, Hedge or Safe Haven.” Applied Economics 49: 5063–5073.
   Web of Science ®Google Scholar
• Chang, T. H., and H. M. Su. 2010. “The Substitutive Effect of Biofuels on Fossil Fuels in the Lower and Higher Crude Oil Price Periods.” Energy 35 (7): 2807–2831. doi:10.1016/j.energy.2010.03.006.
   Web of Science ®Google Scholar
• de Nicola, F., P. De Pace, and M. A. Hernandez. 2016. “Co-movement of Major Energy, Agricultural, and Food Price Returns: A Time-series Assessment.” Energy Economics 57: 28–41. doi:10.1016/j.eneco.2016.04.012.
   Web of Science ®Google Scholar
• Diebold, F. X., and K. Yilmaz. 2012. “Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers.” International Journal of Forecasting 28 (1): 57–66. doi:10.1016/j.ijforecast.2011.02.006.
   Web of Science ®Google Scholar
• Du, X., C. L. Yu, and D. J. Hayes. 2011. “Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis.” Energy Economics 33 (3): 497–503. doi:10.1016/j.eneco.2010.12.015.
   Web of Science ®Google Scholar
• Ferrer, R., S. J. H. Sahazad, R. Lopez, and F. Jareno. 2018. “Time and Frequency Dynamics of Connectedness between Renewable Energy Stocks and Crude Oil Prices.” Energy Economics 76: 1–20. doi:10.1016/j.eneco.2018.09.022.
   Web of Science ®Google Scholar
• Frankel, J. A. 2008. “The Effect of Monetary Policy on Real Commodity Prices.” In Asset Prices and Monetary Policy, edited by J. Y. Campbell, 291 - 333. Chicago: University of Chicago Press.
   Google Scholar
• Gardebroek, C., and M. A. Hernandez. 2013. “Do Energy Prices Stimulate Food Price Volatility? Examining Volatility Transmission between US Oil, Ethanol and Corn Market.” Energy Economics 40: 119–129. doi:10.1016/j.eneco.2013.06.013.
   Web of Science ®Google Scholar
• Hamilton, J. D. 2009. “Causes and Consequences of the Oil Shock of 2007–08.” In Brookings Papers on Economic Activity, 215–261. Spring.
   Google Scholar
• Hanson, K., S. Robinson, and G. Schluter. 1993. “Sectoral Effects of a World Oil Price Shock: Economy Wide Linkages to the Agricultural Sector.” Journal of Agricultural and Resource Economics 18: 96–116.
   Web of Science ®Google Scholar
• Harri, A., L. Nalley, and D. Hudson. 2009. “The Relationship between Oil, Exchange Rates, and Commodity Prices.” Journal of Agricultural and Applied Economics 41 (2): 501–510. doi:10.1017/S1074070800002959.
   Google Scholar
• Ji, Q., and Y. Fan. 2012. “How Does Oil Price Volatility Affect Non-energy Commodity Markets?” Applied Energy 89 (1): 273–280. doi:10.1016/j.apenergy.2011.07.038.
   Web of Science ®Google Scholar
• Johansen, S. 1991. “Estimation and Hypothesis-testing of Cointegration Vectors in Gaussian Vector Autoregressive Models.” Econometrica 59: 1551–1580. doi:10.2307/2938278.
   Web of Science ®Google Scholar
• Kang, S. H., R. McIver, and S. M. Yoon. 2017. “Dynamic Spillover Effects among Crude Oil, Precious Metal, and Agricultural Commodity Futures Markets.” Energy Economics 62: 19–32. doi:10.1016/j.eneco.2016.12.011.
   Web of Science ®Google Scholar
• Kang, S. H., A. K. Tiwari, C. T. Albulescu, and S. M. Yoon. 2019. “Exploring the Time-frequency Connectedness and Network among Crude Oil and Agriculture Commodities.” Energy Economics 84: 1–14. doi:10.1016/j.eneco.2019.104543.
   Web of Science ®Google Scholar
• Khalifa, A. A. A., S. Hammoudeh, and E. Otranto. 2014. “Patterns of Volatility Transmissions within Regime Switching across GCC and Global Markets.” International Review of Economics and Finance 29: 512–524. doi:10.1016/j.iref.2013.08.002.
   Web of Science ®Google Scholar
• Kilian, L. 2009. “Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market.” American Economic Review 99 (3): 1053–1069. doi:10.1257/aer.99.3.1053.
   Web of Science ®Google Scholar
• Kilian, L., and B. Hicks. 2013. “Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?” Journal of Forecasting 32 (5): 385–394. doi:10.1002/for.2243.
   Web of Science ®Google Scholar
• Krätschell, K., and T. Schmidt. 2017. “Long-run Waves or Short-run Fluctuations – What Establishes the Correlation between Oil and Food Prices?” Applied Economics 49 (54): 5535–5546. doi:10.1080/00036846.2017.1313948.
   Web of Science ®Google Scholar
• Krehlík, T., and J. Baruník. 2017. “Cyclical Properties of Supply-side and Demand-side Shocks in Oil-based Commodity Markets.” Energy Economics 65: 208–218. doi:10.1016/j.eneco.2017.05.003.
   Web of Science ®Google Scholar
• Kristoufek, L., K. Janda, and D. Zilberman. 2012. “Correlations between Biofuels and Related Commodities before and during the Foodcrisis: A Taxonomy Perspective.” Energy Economics 34 (5): 1380–1391. doi:10.1016/j.eneco.2012.06.016.
   Web of Science ®Google Scholar
• Lau, M. C. K., S. A. Vigne, S. Wang, and L. Yarovaya. 2017. “Return Spillovers between White Precious Metal ETFs: The Role of Oil, Gold, and Global Equity.” Energy Economics 52: 316–332.
   Google Scholar
• Lee, E., D. B. Han, and R. M. Nayga Jr. 2017. “A Common Factor of Stochastic Volatilities between Oil and Commodity Prices.” Applied Economics 49 (22): 2203–2215. doi:10.1080/00036846.2016.1234701.
   Web of Science ®Google Scholar
• Liu, L. 2014. “Cross-correlation between Crude Oil and Agricultural Commodity Markets.” Physica A 395: 293–302. doi:10.1016/j.physa.2013.10.021.
   Web of Science ®Google Scholar
• Lopez Cabera, B., and F. Schulz. 2016. “Volatility Linkages between Energy and Agricultural Commodity Prices.” Energy Economics 54 (2): 190–203. doi:10.1016/j.eneco.2015.11.018.
   Web of Science ®Google Scholar
• Mackinnon, J.G., Haug, A. A., and L. Michelis. 1999. Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration. Journal of Applied Econometrics 14: 565–577.
   Web of Science ®Google Scholar
• Mensi, W., S. Hammoudeh, D. Nguyen, and S. Yoon. 2014. “Dynamic Spillovers among Major Energy and Cereal Commodity Prices.” Energy Economics 43: 225–243. doi:10.1016/j.eneco.2014.03.004.
   Web of Science ®Google Scholar
• Mensi, W., A. Tiwari, E. Bouri, D. Roubaud, and K. H. Al-Yahyaee. 2017. “The Dependence Structure across Oil, Wheat, and Corn: A Wavelet-based Copula Approach Using Implied Volatility Indexes.” Energy Economics 66: 122–139. doi:10.1016/j.eneco.2017.06.007.
   Web of Science ®Google Scholar
• Myers, R. J., S. R. Johnson, H. Michael, and B. Harry. 2014. “Long-run and Short-run Co-movements in Energy Prices and the Prices of Agricultural Feedstocks for Biofuel.” American Journal of Agricultural Economics 1–18. doi:10.1093/ajae/aau003.
   PubMed Web of Science ®Google Scholar
• Narayan, P. K., S. Narayan, and S. S. Sharma. 2013. “An Analysis of Commodity Markets: What Gain for Investors?” Journal of Banking and Finance 37 (10): 3878–3889. doi:10.1016/j.jbankfin.2013.07.009.
   Web of Science ®Google Scholar
• Nazlioglu, S., C. Erdem, and U. Soytas. 2013. “Volatility Spillover between Oil and Agricultural Commodity Markets.” Energy Economics 36: 658–665. doi:10.1016/j.eneco.2012.11.009.
   Web of Science ®Google Scholar
• Pal, D., and S. K. Mitra. 2017a. “Time-frequency Contained Co-movement of Crude Oil and World Food Prices: A Wavelet-based Analysis.” Energy Economics 62 (2): 230–239. doi:10.1016/j.eneco.2016.12.020.
   Web of Science ®Google Scholar
• Pal, D., and S. K. Mitra. 2017b. “Diesel and Soybean Price Relationship in the United States: Evidence from a Quantile Autoregressive Distributed Lag Model.” Empirical Economics 52 (4): 1609–1626. doi:10.1007/s00181-016-1114-4.
   Web of Science ®Google Scholar
• Pal, D., and S. K. Mitra. 2018. “Interdependence between Crude Oil and World Food Prices: A Detrended Cross Correlation Analysis.” Physica A: Statistical Mechanics and Its Applications 492: 1032–1044. doi:10.1016/j.physa.2017.11.033.
   Web of Science ®Google Scholar
• Pal, D., and S. K. Mitra. 2019. “Correlation Dynamics of Crude Oil with Agricultural Commodities: A Comparison between Energy and Food Crops.” Economic Modelling 82: 453–466. doi:10.1016/j.econmod.2019.05.017.
   Web of Science ®Google Scholar
• Pindyck, R. S., and J. J. Rotemberg. 1990. “The Excess Co-movement of Commodity Prices.” The Economic Journal 100 (403): 1173–1189. doi:10.2307/2233966.
   Web of Science ®Google Scholar
• Reboredo, J. C. 2012. “Do Food and Oil Prices Co-move?” Energy Policy 49 (10): 456–467. doi:10.1016/j.enpol.2012.06.035.
   Web of Science ®Google Scholar
• Roberts, M. J., and W. Schlenker. 2013. “Identifying Supply and Demand Elasticities of Agricultural Commodities: Implications for the US Ethanol Mandate.” American Economic Review 103 (6): 2265–2295. doi:10.1257/aer.103.6.2265.
   Web of Science ®Google Scholar
• Rua, A., and L. C. Nunes. 2009. “International Comovement of Stock Market Returns: A Wavelet Analysis.” Journal of Empirical Finance 16 (4): 632–639. doi:10.1016/j.jempfin.2009.02.002.
   Web of Science ®Google Scholar
• Sadorsky, P. 2014. “Modeling Volatility and Correlations between Emerging Market Stock Prices and the Prices of Copper, Oil and Wheat.” Energy Economics 43: 72–81. doi:10.1016/j.eneco.2014.02.014.
   Web of Science ®Google Scholar
• Serletis, A., and L. Xu. 2019. “The Ethanol Mandate and Crude Oil and Biofuel Agricultural Commodity Price Dynamics.” Journal of Commodity Markets 15: 1–8. doi:10.1016/j.jcomm.2018.07.001.
   Web of Science ®Google Scholar
• Serra, T. 2011. “Volatility Spillovers between Food and Energy Markets: A Semiparametric Approach.” Energy Economics 33 (6): 1155–1164. doi:10.1016/j.eneco.2011.04.003.
   Web of Science ®Google Scholar
• Serra, T., D. Zilberman, and J. M. Gil. 2011. “Price Volatility in Ethanol Markets.” European Review of Agricultural Economics 38 (2): 259–280. doi:10.1093/erae/jbq046.
   Web of Science ®Google Scholar
• Stiassny, A. 1996. “A Spectral Decomposition for Structural Var Models.” Empirical Economics 21 (4): 535–555. doi:10.1007/BF01180700.
   Google Scholar
• Tiwari, A. K., R. Khalfaoui, S. K. Solarin, and M. Shahbaz. 2018. “Analyzing the Time-frequency Lead-lag Relationship between Oil and Agricultural Commodities.” Energy Economics 76: 470–494. doi:10.1016/j.eneco.2018.10.037.
   Web of Science ®Google Scholar
• Trujillo-Barrera, A., M. L. Mallory, and P. Garcia. 2012. “Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets.” Journal of Agricultural and Resource Economics 37: 247–262.
   Web of Science ®Google Scholar
• Vacha, L. K., J. L. Kristoufek, and D. Zilberman. 2013. “Time–frequency Dynamics of Biofuels–fuels–food System.” Energy Economics 40 (11): 233–241. doi:10.1016/j.eneco.2013.06.015.
   Web of Science ®Google Scholar
• Wang, Y., C. Wu, and L. Yang. 2014. “Oil Price Shocks and Agricultural Commodity Prices.” Energy Economics 44 (4): 22–35. doi:10.1016/j.eneco.2014.03.016.
   Web of Science ®Google Scholar
• Wu, F., Z. Guan, and R. J. Myers. 2011. “Volatility Spillover Effects and Cross Hedging in Corn and Crude Oil Futures.” Journal of Futures Markets 31 (11): 1052–1075. doi:10.1002/fut.20499.
   Web of Science ®Google Scholar
• Zhang, C., and X. Qu. 2015. “The Effect of Global Oil Price Shocks on China’s Agricultural Commodities.” Energy Economics 51 (5): 354–364. doi:10.1016/j.eneco.2015.07.012.
   Web of Science ®Google Scholar
• Zilberman, D., G. Hochman, D. Rajagopal, S. Sexton, and G. Timilsina. 2013. “The Impact of Biofuels on Commodity Food Prices: Assessment of Findings.” American Journal of Agricultural Economics 95 (2): 275–281. doi:10.1093/ajae/aas037.
   Web of Science ®Google Scholar