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Time-varying dependence structure between oil and agricultural commodity markets : A dependence-switching CoVaR copula approach

  • 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.

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Document Type:Article
Author:Satish Kumar, Aviral Kumar TiwariORCiD, Ibrahim Dolapo Raheem, Erik HilleORCiD
Chairs and Professorships:Chair of Macroeconomics
Parent Title (English):Resources Policy
Place of publication:Amsterdam
Year of Completion:2021
First Page:102049
Tag:Agricultural commodities; CoVaR; Dependence-switching copula; Tail dependence
Content Focus:Academic Audience
Peer Reviewed:Yes
Rankings:AJG Ranking / 2
SJR Ranking / Q1
Licence (German):License LogoUrheberrechtlich geschützt