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Analyzing pure contagion between crude oil and agricultural futures markets
Energy ; 269, 2023.
Article in English | Scopus | ID: covidwho-2260953
ABSTRACT
Crude oil and agricultural product prices are important factors affecting a country's economic and social stability. The pure contagion between these two markets may lead to excessive price linkage, increasing the fragility of the financial system. This paper uses the CEEMDAN method, fine-to-coarse reconstruction method, and TVP-VAR model to study the pure contagion between crude oil and agricultural futures markets. The empirical results show that there always is significant pure contagion between agricultural futures markets. However, pure contagion between crude oil and agricultural futures markets only exists in some specific periods. The crude oil futures market has obvious pure contagion to the agricultural futures markets in most periods. Only a few periods the agricultural futures have pure contagion to the crude oil futures. It is worth noting that the COVID-19 epidemic aggravates the pure contagion between crude oil and the agricultural futures markets. Based on the research conclusions, this paper puts forward corresponding policy recommendations, hoping to provide a reference and theoretical basis for the government to formulate corresponding policies. © 2023 Elsevier Ltd
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Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: Energy Year: 2023 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: Energy Year: 2023 Document Type: Article