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.
Bibliographical noteFunding Information:
The last author acknowledges the financial support by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea ( NRF-2020S1A5B8103268 ).
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