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Return and volatility transmission between oil price shocks and agricultural commodities.
Umar, Zaghum; Gubareva, Mariya; Naeem, Muhammad; Akhter, Ayesha.
  • Umar Z; College of Business, Zayed University, Abu Dhabi, United Arab Emirates.
  • Gubareva M; South Ural State University, Chelyabinsk, Russian Federation.
  • Naeem M; ISCAL - Lisbon Accounting and Business School Instituto Politécnico de Lisboa, Lisbon, Portugal.
  • Akhter A; SOCIUS / CSG - Research in Social Sciences and Management Rua Miguel Lupi, Lisbon, Portugal.
PLoS One ; 16(2): e0246886, 2021.
Article in English | MEDLINE | ID: covidwho-1090555
ABSTRACT
This paper studies the connectedness between oil price shocks and agricultural commodities. Our sample period ranges from January 2002 to July 2020, covering the three global crises; Global Financial Crisis, the European sovereign debt crisis and Covid-19 pandemic crisis. We employ Granger causality tests, and the static and dynamic connectedness spillover index methodology. We find that the shocks in oil prices are Granger-caused mainly by price changes of grains, live cattle, and wheat, while supply shock granger causes variations mostly in grain prices. We find that, from the point of view of static connectedness, for both, price and volatility spillovers, the livestock is the largest transmitter, while the lean hogs are the major receiver. Our dynamic analysis evidences that connectedness increases during the financial crisis period. Our results are potentially useful for investors, portfolios managers and policy makers.
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Full text: Available Collection: International databases Database: MEDLINE Main subject: Petroleum / Commerce / Agriculture / SARS-CoV-2 / COVID-19 Type of study: Observational study Limits: Humans Language: English Journal: PLoS One Journal subject: Science / Medicine Year: 2021 Document Type: Article Affiliation country: Journal.pone.0246886

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Full text: Available Collection: International databases Database: MEDLINE Main subject: Petroleum / Commerce / Agriculture / SARS-CoV-2 / COVID-19 Type of study: Observational study Limits: Humans Language: English Journal: PLoS One Journal subject: Science / Medicine Year: 2021 Document Type: Article Affiliation country: Journal.pone.0246886