Agricultural commodities: An integrated approach to assess the volatility spillover and dynamic connectedness

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-12-01 DOI:10.18559/ebr.2021.4.3

A. Mishra, R. P. Kumar

{"title":"Agricultural commodities: An integrated approach to assess the volatility spillover and dynamic connectedness","authors":"A. Mishra, R. P. Kumar","doi":"10.18559/ebr.2021.4.3","DOIUrl":null,"url":null,"abstract":"Abstract In this article the dynamic connectedness between the five agricultural commodities is examined by implementing the Diebold and Yılmaz (VAR based) and Time--Varying Parameter Vector Autoregressions (TVP-VAR) measures for understanding the time-varying variance-covariance mechanism using daily data for the period of 2005 to 2019. The findings reveal that at an overall level all the commodity prices are less susceptible to significant volatility shocks from other commodities specifically before the introduction of the pan-India electronic trading portal (eNAM). Cotton prices do not show any variation due to spillover from others for the entire study period. The volatility spillover is visible post eNAM period particularly for the commodity stock prices. Whereas at an overall level the total directional connectedness has gone down in the post eNAM era. The network analysis suggests that the commodity stock prices show a stronger association as compared to market prices. Generally commodity prices show volatility connectedness but with respect to their own market which means strong spillover is missing among both the markets.","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2021-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.18559/ebr.2021.4.3","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}

引用次数: 0

Abstract

Abstract In this article the dynamic connectedness between the five agricultural commodities is examined by implementing the Diebold and Yılmaz (VAR based) and Time--Varying Parameter Vector Autoregressions (TVP-VAR) measures for understanding the time-varying variance-covariance mechanism using daily data for the period of 2005 to 2019. The findings reveal that at an overall level all the commodity prices are less susceptible to significant volatility shocks from other commodities specifically before the introduction of the pan-India electronic trading portal (eNAM). Cotton prices do not show any variation due to spillover from others for the entire study period. The volatility spillover is visible post eNAM period particularly for the commodity stock prices. Whereas at an overall level the total directional connectedness has gone down in the post eNAM era. The network analysis suggests that the commodity stock prices show a stronger association as compared to market prices. Generally commodity prices show volatility connectedness but with respect to their own market which means strong spillover is missing among both the markets.

查看原文本刊更多论文

农产品:评估波动、溢出和动态联系的综合方法

摘要本文利用2005年至2019年的日常数据，通过Diebold和Yılmaz(基于VAR)和时变参数向量自回归(TVP-VAR)方法来理解时变方差-协方差机制，研究了五种农产品之间的动态联系。研究结果表明，总体而言，所有商品价格都不太容易受到其他商品的显著波动冲击，特别是在引入泛印度电子交易门户网站(eNAM)之前。在整个研究期间，棉花价格没有显示出由于其他产品的溢出效应而产生的任何变化。在eNAM之后，波动性溢出是明显的，特别是对大宗商品股票价格而言。而在后eNAM时代，整体上的定向连通性有所下降。网络分析表明，与市场价格相比，商品股票价格表现出更强的相关性。一般来说，大宗商品价格表现出波动性的连通性，但相对于它们自己的市场而言，这意味着两个市场之间缺乏强大的溢出效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.