{"title":"Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict","authors":"Noureddine Benlagha, Wafa Abdelmalek","doi":"10.1007/s40822-024-00279-7","DOIUrl":null,"url":null,"abstract":"<p>This paper investigates the interconnectedness patterns between agricultural commodities, crude oil, and ethanol, along with their determinants before and during the COVID-19 pandemic and the Russia–Ukraine conflict. We employ a time-varying parameter vector autoregression model to analyze interconnected behaviors among energy and agricultural commodities. Additionally, quantile regression is used to assess the impact of financial and economic fundamentals on transmission mechanisms in commodity markets. The empirical findings reveal time-varying and crisis-responsive linkages between energy and agricultural commodities, particularly during the COVID-19 pandemic and Russia–Ukraine conflict. Furthermore, economic and financial market uncertainties emerge as significant determinants of the interconnectedness between these commodity groups.</p>","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":null,"pages":null},"PeriodicalIF":2.5000,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Eurasian Economic Review","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s40822-024-00279-7","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
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Abstract
This paper investigates the interconnectedness patterns between agricultural commodities, crude oil, and ethanol, along with their determinants before and during the COVID-19 pandemic and the Russia–Ukraine conflict. We employ a time-varying parameter vector autoregression model to analyze interconnected behaviors among energy and agricultural commodities. Additionally, quantile regression is used to assess the impact of financial and economic fundamentals on transmission mechanisms in commodity markets. The empirical findings reveal time-varying and crisis-responsive linkages between energy and agricultural commodities, particularly during the COVID-19 pandemic and Russia–Ukraine conflict. Furthermore, economic and financial market uncertainties emerge as significant determinants of the interconnectedness between these commodity groups.
期刊介绍：
The mission of Eurasian Economic Review is to publish peer-reviewed empirical research papers that test, extend, or build theory and contribute to practice. All empirical methods - including, but not limited to, qualitative, quantitative, field, laboratory, and any combination of methods - are welcome. Empirical, theoretical and methodological articles from all fields of finance and applied macroeconomics are featured in the journal. Theoretical and/or review articles that integrate existing bodies of research and that provide new insights into the field are highly encouraged. The journal has a broad scope, addressing such issues as: financial systems and regulation, corporate and start-up finance, macro and sustainable finance, finance and innovation, consumer finance, public policies on financial markets within local, regional, national and international contexts, money and banking, and the interface of labor and financial economics. The macroeconomics coverage includes topics from monetary economics, labor economics, international economics and development economics.
Eurasian Economic Review is published quarterly. To be published in Eurasian Economic Review, a manuscript must make strong empirical and/or theoretical contributions and highlight the significance of those contributions to our field. Consequently, preference is given to submissions that test, extend, or build strong theoretical frameworks while empirically examining issues with high importance for theory and practice. Eurasian Economic Review is not tied to any national context. Although it focuses on Europe and Asia, all papers from related fields on any region or country are highly encouraged. Single country studies, cross-country or regional studies can be submitted.
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