TY  - JOUR
U1  - Zeitschriftenartikel, wissenschaftlich - begutachtet (reviewed)
A1  - Kumar, Satish
A1  - Tiwari, Aviral Kumar
A1  - Raheem, Ibrahim Dolapo
A1  - Hille, Erik
T1  - Time-varying dependence structure between oil and agricultural commodity markets
BT  - A dependence-switching CoVaR copula approach
JF  - Resources Policy
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 ΔCoVaR 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  - Tail dependence
Y1  - 2021
SN  - 0301-4207
SS  - 0301-4207
U6  - https://doi.org/10.1016/j.resourpol.2021.102049
DO  - https://doi.org/10.1016/j.resourpol.2021.102049
VL  - 72
IS  - August
SP  - 102049
PB  - Elsevier
CY  - Amsterdam
ER  -