Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain
| dc.contributor.author | Lucey, Brian | |
| dc.contributor.author | Naeem, Muhammad | |
| dc.contributor.author | Karim, Sitara | |
| dc.contributor.author | ETAL.. | |
| dc.date.accessioned | 2024-05-30T05:39:48Z | |
| dc.date.available | 2024-05-30T05:39:48Z | |
| dc.date.issued | 2022-08 | |
| dc.description | Understanding the linkages between crude oil and agricultural commodities has gained considerable traction since the 2006 food crisis. The prices of these commodities have gone through large swings over the last two decades due to economic and financial crises, changes in production technologies, and the pandemic outbreak, let alone the effects of climate change regulations and macroeconomic uncertainties. In particular, three recent events of distinct nature have affected oil and agriculture commodity prices severely. Since late 2003, the oil price began a bullish trajectory which peaked at $145 a barrel in July 2008. | |
| dc.description.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. Keywords: Oil shocks, Agriculture commodities, GFCSOR, COVID-19 | |
| dc.identifier.citation | Naeem, M. A., Karim, S., Hasan, M., Lucey, B. M., & Kang, S. H. (2022). Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain. Energy Economics, 112, 106148. | |
| dc.identifier.doi | https://doi.org/10.1016/j.eneco.2022.106148 | |
| dc.identifier.uri | https://dspace.adu.ac.ae/handle/1/5516 | |
| dc.language.iso | en | |
| dc.publisher | Science Direct | |
| dc.title | Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain | |
| dc.type | Article |