TY - JOUR
T1 - Time-varying dependence structure between oil and agricultural commodity markets
T2 - A dependence-switching CoVaR copula approach
AU - Kumar, Satish
AU - Tiwari, Aviral Kumar
AU - Raheem, Ibrahim Dolapo
AU - Hille, Erik
PY - 2021/8
Y1 - 2021/8
N2 - We examine the energy-food nexus using the dependence-switching copula model. Specifically, we look at the dependence for four distinct market states, such as, increasing oil-increasing commodity, declining oil-declining commodity, increasing oil-declining commodity, as well as declining oil-increasing commodity markets. Our results support the argument that the crash of oil markets and agricultural commodities happen at the same time, especially during crisis period. However, the same is not true during times of normal economic conditions, implying that investors cannot make excess profits in both agricultural and oil markets at once. Furthermore, our analysis suggests that the return chasing effect dominates for all commodities on maximum occasions. The CoVaR and.CoVaR results indicate important risk spillover from oil to agricultural markets, especially around the financial crisis.
AB - We examine the energy-food nexus using the dependence-switching copula model. Specifically, we look at the dependence for four distinct market states, such as, increasing oil-increasing commodity, declining oil-declining commodity, increasing oil-declining commodity, as well as declining oil-increasing commodity markets. Our results support the argument that the crash of oil markets and agricultural commodities happen at the same time, especially during crisis period. However, the same is not true during times of normal economic conditions, implying that investors cannot make excess profits in both agricultural and oil markets at once. Furthermore, our analysis suggests that the return chasing effect dominates for all commodities on maximum occasions. The CoVaR and.CoVaR results indicate important risk spillover from oil to agricultural markets, especially around the financial crisis.
KW - Agricultural commodities
KW - CoVaR
KW - Dependence-switching copula
KW - Oil
KW - Tail dependence
UR - http://www.scopus.com/inward/record.url?scp=85102359533&partnerID=8YFLogxK
U2 - 10.1016/j.resourpol.2021.102049
DO - 10.1016/j.resourpol.2021.102049
M3 - Article
VL - 72
JO - Resources Policy
JF - Resources Policy
SN - 0301-4207
M1 - 102049
ER -