454
Views
4
CrossRef citations to date
0
Altmetric
Research Article

Influence of unconventional monetary policy on agricultural commodities futures: network connectedness and dynamic spillovers of returns and volatility

ORCID Icon, ORCID Icon, ORCID Icon & ORCID Icon

References

  • Aharon, D. Y., Z. Umar, and X. V. Vo. 2021. “Dynamic Spillovers Between the Term Structure of Interest Rates, Bitcoin, and Safe-Haven Currencies.” Financial Innovation 7 (1). doi:10.1186/s40854-021-00274-w.
  • Aharon, D. Y., Z. Umar, M. I. A. Aziz, and X. V. Vo. 2022. “COVID-19 Related Media Sentiment and the Yield Curve of G-7 Economies.” North American Journal of Economics and Finance 61. doi:10.1016/j.najef.2022.101678.
  • Amatov, A., and J. H. Dorfman. 2017. “The Effects on Commodity Prices of Extraordinary Monetary Policy.” Journal of Agricultural and Applied Economics 49 (1): 83–96. doi:10.1017/aae.2016.34.
  • Antonakakis, N., D. Gabauer, and R. Gupta. 2019. “International Monetary Policy Spillovers: Evidence from a Time-Varying Parameter Vector Autoregression.” International Review of Financial Analysis 65: 101382. doi:10.1016/j.irfa.2019.101382.
  • Anzuini, A., M. J. Lombardi, and P. Pagano. 2013. “The Impact of Monetary Policy Shocks on Commodity Prices.” International Journal of Central Banking 9 (3): 119–144.
  • Ayres, J., C. Hevia, and J. Nicolini 2019. “Real Exchange Rates and Primary Commodity Prices.” Working paper Nº IDB-WP-1063, Inter-American Development Bank.https://publications.iadb.org/publications/english/document/Real_Exchange_Rates_and_Primary_Commodity_Prices_en.pdf
  • Balcilar, M., D. Gabauer, and Z. Umar. 2021. “Crude Oil Futures Contracts and Commodity Markets: New Evidence from a TVP-VAR Extended Joint Connectedness Approach.” Resources Policy 73. doi:10.1016/j.resourpol.2021.102219.
  • Blinder, A. S. 2014. “Federal Reserve Policy Before, During, and After the Fall.” Across the Great Divide: New Perspectives on the Financial Crisis 652: 84–97.
  • Cabrales, C., J. Castro, and J. Joya. 2014. “The Effect of Monetary Policy on Commodity Prices: Disentangling the Evidence for Individual Prices.” Economics Research International 649734. doi:http://dx.doi.org/10.1155/2014/649734.
  • Chambers, R. G. 1984. “Agricultural and Financial Market Interdependence in the Short Run.” American Journal of Agricultural Economics 66 (1): 12–24. doi:10.2307/1240611.
  • Cohen, B. H. 1999. “Derivatives, Volatility and Price Discovery.” International Finance 2 (2): 167–202. doi:10.1111/1468-2362.00024.
  • Devadoss, S., W. H. Meyers, and D. R. Starleaf. 1990. “Impacts of US Monetary Policies on the Farm Sector: An Econometric Analysis.” Applied Economics 22 (11): 1451–1470. doi:10.1080/00036849000000116.
  • Diebold, F. X., and K. Yılmaz. 2014. “On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.” Journal of Econometrics 182 (1): 119–134. doi:10.1016/j.jeconom.2014.04.012.
  • Doll, R. J. 1958. “Some Implications of Monetary Policy on Agriculture.” Journal of Farm Economics 40 (1): 21–29. doi:10.2307/1235343.
  • Dornbusch, R. 1976. “Expectations and Exchange Rate Dynamics.” The Journal of Political Economy 84 (6): 1161–1176. doi:10.1086/260506.
  • Florez, L. A. 2010. “Monetary Policy and Commodity Prices: An Endogenous Analysis Using an SVAR Approach.” Borradores de Economía; No. 610.
  • Frankel, J. A. 1984. “Commodity Prices and Money: Lessons from International Finance.” American Journal of Agricultural Economics 66 (5): 560–566. doi:10.2307/1240954.
  • Frankel, J. A. 2006. “Commodity Prices, Monetary Policy, and Currency Regimes.” NBER Working Paper 12713. http://www.nber.org/papers/w12713
  • Frankel, J. A. 2008. 7. The Effect of Monetary Policy on Real Commodity Prices. USA: University of Chicago Press.
  • Haase, M., Y. S. Zimmermann, and H. Zimmermann. 2016. “The Impact of Speculation on Commodity Futures Markets–a Review of the Findings of 100 Empirical Studies.” Journal of Commodity Markets 3 (1): 1–15. doi:10.1016/j.jcomm.2016.07.006.
  • Henderson, J. 2018. “Monetary Policy and Agricultural Commodity Prices: It’s All Relative.” Choices 33 (1): 1–8.
  • Krippner, L. 2013. “A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models.” CAMA Working Paper No. 49/2013. https://ssrn.com/abstract=2310990
  • Krippner, L. 2019. “A Note of Caution on Shadow Rate Estimates.” Journal of Money, Credit, and Banking 52 (4): 952–962. doi:10.1111/jmcb.12613.
  • Kuttner, K. N. 2018. “Outside the Box: Unconventional Monetary Policy in the Great Recession and Beyond.” Journal of Economic Perspectives 32 (4): 121–146. doi:10.1257/jep.32.4.121.
  • Lombardi, M. J., P. Pagano, and A. Anzuini 2010. “The Impact of Monetary Policy Shocks on Commodity Prices (No. 1232).”
  • Lombardi, M. J., and F. Zhu. 2014. “A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound.”
  • Malik, F., and Z. Umar. 2019. “Dynamic Connectedness of Oil Price Shocks and Exchange Rates.” Energy Economics 84. doi:10.1016/j.eneco.2019.104501.
  • Mensi, W., F. Z. Boubaker, K. H. Al-Yahyaee, and S. H. Kang. 2018. “Dynamic Volatility Spillovers and Connectedness Between Global, Regional, and GIPSI Stock Markets.” Finance Research Letters 25: 230–238. doi:10.1016/j.frl.2017.10.032.
  • Riaz, Y., C. T. Shehzad, and Z. Umar. 2021. “The Sovereign Yield Curve and Credit Ratings in GIIPS.” International Review of Finance 21 (3): 895–916. doi:https://doi.org/10.1111/irfi.12306.
  • Roache, M. S. K. 2010. What Explains the Rise in Food Price Volatility? USA: International Monetary Fund.
  • Roberts, M. J., and W. Schlenker. 2013. “Identifying Supply and Demand Elasticities of Agricultural Commodities: Implications for the US Ethanol Mandate.” The American Economic Review 103 (6): 2265–2295. doi:10.1257/aer.103.6.2265.
  • Schiff, M., and A. Valdés 1998. “Agriculture and the Macroeconomy.” SSRN 620527.
  • Schuh, G. E. 1974. “The Exchange Rate and US Agriculture.” American Journal of Agricultural Economics 56 (1): 1–13. doi:10.2307/1239342.
  • Siami‐namini, S., D. Hudson, A. A. Trindade, and C. Lyford. 2019. “Commodity Price Volatility and US Monetary Policy: Commodity Price Overshooting Revisited.” Agribusiness 35 (2): 200–218. doi:10.1002/agr.21564.
  • Siami‐namini, S. 2021. “U.S. Monetary Policy and Commodity Prices: A SVECM Approach.” Economic Papers: A Journal of Applied Economics and Policy 40 (4): 288–312. doi:https://doi.org/10.1111/1759-3441.12309.
  • Śmiech, S., M. Papież, K. Fijorek, and M. A. Dąbrowski. 2019. “What Drives Food Price Volatility? Evidence Based on a Generalized VAR Approach Applied to the Food, Financial and Energy Markets.” Economics 13 (1). doi:10.5018/economics-ejournal.ja.2019-14.
  • Spierdijk, L., and Z. Umar. 2012. “Are Commodities a Good Hedge Against Inflation? a Comparative Approach.” SSRN Electronic Journal. doi:10.2139/ssrn.1730243.
  • Spierdijk, L., and Z. Umar. 2014. “Are Commodity Futures a Good Hedge Against Inflation?” The Journal of Investment Strategies 3 (2): 35–57. doi:https://doi.org/10.21314/jois.2014.048.
  • Umar, Z., S. J. H. Shahzad, R. Ferrer, and F. Jareño. 2018. “Does Shariah Compliance Make Interest Rate Sensitivity of Islamic Equities Lower? an Industry Level Analysis Under Different Market States.” Applied Economics 50 (42): 4500–4521. doi:https://doi.org/10.1080/00036846.2018.1458191.
  • Umar, Z., A. Zaremba, and D. Olson. 2020. “Seven Centuries of Commodity Co-Movement: A Wavelet Analysis Approach.” Applied Economics Letters. doi:10.1080/13504851.2020.1869151.
  • Umar, Z., M. Gubareva, M. Naeem, A. Akhter, and P. Caraiani. 2021. “Return and Volatility Transmission Between Oil Price Shocks and Agricultural Commodities.” PLoS ONE 16 (2): e0246886. doi:https://doi.org/10.1371/journal.pone.0246886. 2 February 2021.
  • Umar, Z., M. Gubareva, M. Naeem, and A. Akhter. 2021. “Return and Volatility Transmission Between Oil Price Shocks and Agricultural Commodities.” Plos One 16 (2): e0246886.
  • Umar, Z., M. Gubareva, and T. Teplova. 2021a. “The Impact of Covid-19 on Commodity Markets Volatility: Analyzing Time-Frequency Relations Between Commodity Prices and Coronavirus Panic Levels.” Resources Policy 73. doi:10.1016/j.resourpol.2021.102164.
  • Umar, Z., F. Jareño, and A. Escribano. 2021b. “Agricultural Commodity Markets and Oil Prices: An Analysis of the Dynamic Return and Volatility Connectedness.” Resources Policy 73. doi:10.1016/j.resourpol.2021.102147.
  • Umar, Z., F. Jareño, and A. Escribano. 2021c. “Dynamic Return and Volatility Connectedness for Dominant Agricultural Commodity Markets During the COVID-19 Pandemic Era.” Applied Economics. doi:10.1080/00036846.2021.1973949.
  • Umar, Z., Y. Riaz, and A. Zaremba. 2021d. “Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020.” Finance Research Letters 43: 101999. doi:https://doi.org/10.1016/j.frl.2021.101999.
  • Umar, Z., Y. Riaz, and A. Zaremba. 2021e. “Spillover and Risk Transmission in the Components of the Term Structure of Eurozone Yield Curve.” Applied Economics 53 (18): 2141–2157. doi:https://doi.org/10.1080/00036846.2020.1856322.
  • Umar, Z., I. Yousaf, and D. Y. Aharon. 2021f. “The Relationship Between Yield Curve Components and Equity Sectorial Indices: Evidence from China.” Pacific Basin Finance Journal 68: 101591. doi:https://doi.org/10.1016/j.pacfin.2021.101591.
  • Umar, Z., D. Y. Aharon, C. Esparcia, and W. AlWahedi. 2022. “Spillovers Between Sovereign Yield Curve Components and Oil Price Shocks.” Energy Economics 109: 105963. doi:10.1016/j.eneco.2022.105963.
  • Umar, Z., W. Alwahedi, A. Zaremba, and X. V. Vo. 2022a. “Return and Volatility Connectedness of the Non-Fungible Tokens Segments.” Journal of Behavioral and Experimental Finance 100692. doi:10.1016/J.JBEF.2022.100692.
  • Umar, Z., Y. Riaz, and D. Y. Aharon. 2022b. “Network Connectedness Dynamics of the Yield Curve of G7 Countries.” International Review of Economics and Finance 79. doi:10.1016/j.iref.2022.02.052.
  • Umar, Z., I. Yousaf, M. Gubareva, and X. V. Vo. 2022c. “Spillover and Risk Transmission Between the Term Structure of the US Interest Rates and Islamic Equities.” Pacific Basin Finance Journal 72. doi:10.1016/j.pacfin.2022.101712.
  • Wölfel, K., and C. Weber. 2017. “Searching for the Fed’s Reaction Function.” Empirical Economics 52 (1): 191–227. doi:10.1007/s00181-016-1076-6.
  • Wright, B. D. 2011. “The Economics of Grain Price Volatility.” Applied Economic Perspectives and Policy 33 (1): 32–58. doi:10.1093/aepp/ppq033.
  • Xiao, X., and J. Huang. 2018. “Dynamic Connectedness of International Crude Oil Prices: The Diebold–yilmaz Approach.” Sustainability 10 (9): 3298. doi:10.3390/su10093298.
  • Zaremba, A., Z. Umar, and M. Mikutowski. 2019. “Inflation Hedging with Commodities: A Wavelet Analysis of Seven Centuries Worth of Data.” Economics Letters 181. doi:10.1016/j.econlet.2019.05.002.
  • Zaremba, A., Z. Umar, and M. Mikutowski. 2021. “Commodity Financialisation and Price Co-Movement: Lessons from Two Centuries of Evidence.” Finance Research Letters 38. doi:10.1016/j.frl.2020.101492.
  • Zaremba, A., J. S. Jan, Z. Umar, and M. Mikutowski. 2022a. “Practical Applications of Inflation Hedging in the Long Run: Perspectives from Seven Centuries of Commodity Prices.” Practical Applications 9 (3): 1.3–5. doi:https://doi.org/10.3905/pa.9.3.455.
  • Zaremba, A., J. S. Jan, Z. Umar, and M. Mikutowski. 2022b. “Practical Applications of Inflation Hedging in the Long Run: Perspectives from Seven Centuries of Commodity Prices.” The Journal of Alternative Investments jai.2021.pa455. doi:https://doi.org/10.3905/jai.2021.pa455.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.