能源和农业市场之间的定量时间频率关联性:COVID-19 危机和俄乌冲突期间的研究

IF 1.3 Q3 ECONOMICS
Mohamed Yousfi, Houssam Bouzgarrou
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引用次数: 0

摘要

研究结果研究结果表明,在COVID-19危机和俄乌冲突期间,总关联度急剧上升,这表明危机和战争都有助于能源和软商品之间的波动溢出。事实上,研究结果表明,在短期内,大流行病的影响比战争对动态风险溢出的影响更大。本研究证实,能源市场价格和石油的不确定性在解释不同时间段、频率和数量级的农产品波动方面发挥着重要作用。特别是在极端数量级,研究结果表明,大冲击比小冲击的影响更明显。这些发现对政策制定者和市场参与者具有重要意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Quantile time−frequency connectedness between energy and agriculture markets: a study during the COVID-19 crisis and the Russo−Ukrainian conflict
Purpose This paper aims to examine the volatility connectedness between energy and agricultural commodities across different quantiles and time horizons. Design/methodology/approach This study uses the quantile frequency connectedness approach on daily data spanning from January 2019 to November 2023. Findings The results indicate a sharp increase in total connectedness during the COVID-19 crisis and the Russian−Ukrainian conflict, suggesting that both the crisis and the war contribute to volatility spillover among energy and soft commodities. In fact, the findings suggest that, in the short term, the effects of the pandemic have a greater impact on dynamic risk spillover than those of the war. However, over the long term, the consequences of geopolitical tensions related to the war exert a more significant influence compared to the effects of the pandemic. Originality/value This study confirms that energy market prices and oil uncertainty play a significant role in explaining fluctuations in agricultural commodities across diverse timeframes, frequencies and quantiles. Particularly, at extreme quantiles, the results indicate that large shocks have a more pronounced impact than small shocks. These findings hold important implications for policymakers and market participants.
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来源期刊
CiteScore
2.80
自引率
8.30%
发文量
13
期刊介绍: The Journal of Financial Economic Policy publishes high quality peer reviewed research on financial economic policy issues. The journal is devoted to the advancement of the understanding of the entire spectrum of financial policy and control issues and their interactions to economic phenomena. Economic and financial phenomena involve complex trade-offs and linkages between various types of risk factors and variables of interest to policy makers and market participants alike. Market participants such as economic policy makers, regulators, banking and competition supervisors, corporations and financial institutions, require timely and robust answers to the contemporary and emerging policy questions. In turn, such answers require thorough input by the academics, policy makers and practitioners alike. The Journal of Financial Economic Policy provides the forum to satisfy this need. The journal publishes and invites concise papers to enable a prompt response to current and emerging policy affairs.
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