Time-frequency quantile co-movement between agricultural commodities and sovereign CDS: Evidence from Latin America countries

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-08-01 DOI:10.1016/j.ribaf.2025.103157

Liya Hau , Dingyi Yang , Qingyao Zeng , Huiming Zhu

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引用次数: 0

Abstract

This study investigates the relationship between sovereign credit default swaps (CDS) and major agricultural commodities in Latin America countries across different investment periods and market conditions. Utilizing wavelet and quantile cross-spectral coherence methods, our empirical findings reveal the following: The co-movement between sovereign CDS and agricultural commodities exhibits significant heterogeneity under different time-frequency domains, with long-run correlations dominating due to the vulnerability of these countries’ agricultural commodities exports to external shocks. Second, extreme market conditions amplify the positive correlation, reflecting the contagion effect of financialization pressures and intensifying crises. Finally, sovereign CDS are most effective in hedging agricultural commodity risk at monthly and annual frequencies. Overall, these findings provide valuable decision-making references for policymakers and investors.

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农产品与主权CDS的时频分位数联动：来自拉丁美洲国家的证据

本研究探讨了拉丁美洲国家主权信用违约互换（CDS）与不同投资期和市场条件下主要农产品之间的关系。利用小波和分位数交叉谱相干性方法，我们的实证发现如下：主权CDS与农产品的联动在不同时频域表现出显著的异质性，由于这些国家的农产品出口对外部冲击的脆弱性，长期相关性占主导地位。其次，极端的市场条件放大了正相关关系，反映了金融化压力的传染效应，加剧了危机。最后，主权CDS在按月和按年频率对冲农产品风险方面最为有效。综上所述，这些发现为政策制定者和投资者提供了有价值的决策参考。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance