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

Muhammad Abubakr Naeem; Sitara Karim; Mudassar Hasan; Sang Hoon Kang; Brian Lucey

doi:10.1016/j.eneco.2022.106148

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

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

TUIBS Finance, Performance & Marketing

Research output: Contribution to journal › Article › peer-review

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 language	English
Article number	106148
Journal	Energy Economics
Volume	112
DOIs	https://doi.org/10.1016/j.eneco.2022.106148
Publication status	Published - 1 Aug 2022

Bibliographical note

Funding 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 ).

Publisher Copyright:
© 2022 Elsevier B.V.

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10.1016/j.eneco.2022.106148

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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.",

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AU - Hasan, Mudassar

AU - Kang, Sang Hoon

AU - Lucey, Brian

N1 - Funding 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 ). Publisher Copyright: © 2022 Elsevier B.V.

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AB - 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.

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

Abstract

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