Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain

Muhammad Abubakr Naeem, Sitara Karim, Mudassar Hasan, Brian M. Lucey, Sang Hoon Kang

Research output: Contribution to journalArticlepeer-review

45 Citations (Scopus)

Abstract

Oil shocks demonstrate an effective economic event in the face of several unprecedented financial challenges. The current study endeavors to investigate the nexus between oil shocks and agriculture commodities with portfolio implications. Building on the novel techniques of time- and frequency spillovers and portfolio analysis, we unlocked the potential connectedness networks as well as diversification and trading strategies for investors and portfolio managers. Our findings document strong intra and weaker inter-connectedness between oil shocks and agriculture commodities with greater time-varying spillovers in the short- and long-run. We framed valuable intuitions for policymakers, macro-prudential authorities, investors, and portfolio managers.

Original languageEnglish
Article number106148
JournalEnergy Economics
Volume112
DOIs
Publication statusPublished - Aug 2022

Keywords

  • Agriculture commodities
  • COVID-19
  • GFC
  • Oil shocks
  • SOR

ASJC Scopus subject areas

  • Economics and Econometrics
  • General Energy

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