Do oil prices and exchange rates account for agricultural commodity market spillovers? Evidence from the Diebold and Yilmaz Index

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Do o l pr ces and exchange rates account for agr cultural commod ty

market sp llovers? Ev dence from the D ebold and Y lmaz Index

By:Balc lar, M (Balc lar, Mehmet)[ 1 ] ; Bekun, FV (Bekun, Festus V ctor)[ 2,3 ] H de Web of Sc ence ResearcherID and ORCID

Author

Web of Sc ence ResearcherID

ORCID Number

Bekun, Festus

AAU-3573-2020

AGREKON

Volume: 59 Issue: 3 Pages: 366-385 DOI: 10.1080/03031853.2019.1694046 Publ shed: JUL 2 2020

Early Access: APR 2020 Document Type: Art cle V ew Journal Impact

Abstract

Th s paper exam nes the nature of nterconnectedness between the returns of the pr ce of o l and fore gn exchange on selected agr cultural commod ty pr ces. To do th s, the authors leverage the novel methodology of a sp llover ndex developed by D ebold and Y lmaz (2012) that reports pred ct ve d rect onal measurement of volat l ty sp llovers. Internat onal Journal of Forecast ng 28, no. 1: 57-66) that reports: ( ) Net sp llovers; ( ) D rect onal sp llovers; ( ) Pa rw se net sp llovers; and ( v) Total sp llover nd ces. Th s study also captures all secular and cycl cal movements w th the a d of roll ng w ndow analys s to ensure the robustness of the est mat ons. Emp r cal analyses are constructed based on monthly real sed frequency data from 2006M1 to 2016M7. The emp r cal analys s from the full sample s ze shows that r ce, sorghum, pr ce nflat on, a nom nal effect ve exchange rate and o l pr ce d splay weak pass-through among the nvest gated var ables wh le banana, cocoa, groundnut, ma ze, soybean and wheat are net transm tters of sp llover. Based on these revelat ons, several pol cy prescr pt ons for the agr cultural commod ty markets and the r d verse responses to e ther exchange rate fluctuat ons or a dw ndl ng o l pr ce are suggested for N ger a.

Keywords

Author Keywords:Agr cultural commod ty markets; VAR model; fore gn exchange; sp llover; N ger a

KeyWords Plus:IMPULSE-RESPONSE ANALYSIS; VOLATILITY SPILLOVERS; TIME-SERIES; RETURN; FOOD

Author Informat on

Istanbul Gel s m Un vers ty Istanbul Gel s m Un v, Dept Int Log st & Transportat, Fac Econ Adm & Soc al Sc , Istanbul, Turkey.

South Ural State Un vers ty South Ural State Un v, Sch Econ & Management, Dept Account ng Anal & Aud t, 76 Len n Ave, Chelyab nsk 454080, Russ a.

Correspond ng Address: Bekun, FV (correspond ng author)

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apps.webofknowledge.com/full_record.do?product=UA&search_mode=GeneralSearch&q d=1&SID=C2PdN4pcnA9SyXjg4w &page=1&doc=2 2/2 Correspond ng Address: Bekun, FV (correspond ng author)

South Ural State Un v, Sch Econ & Management, Dept Account ng Anal & Aud t, 76 Len n Ave, Chelyab nsk 454080, Russ a.

Addresses:

[ 1 ] Eastern Med terranean Un v, Dept Econ, Famagusta, Turkey

[ 2 ] Istanbul Gel s m Un v, Dept Int Log st & Transportat, Fac Econ Adm & Soc al Sc , Istanbul, Turkey [ 3 ] South Ural State Un v, Sch Econ & Management, Dept Account ng Anal & Aud t, 76 Len n Ave, Chelyab nsk 454080, Russ a

E-ma l Addresses:[email protected]

Publ sher

AGRICULTURAL ECON ASSOC SOUTH AFRICA, DEPT AGRICULTURAL ECON, PRIVATE BAG X1, MATIELAND, 7602, SOUTH AFRICA

Categor es / Class f cat on

Web of Sc ence Categor es: Agr cultural Econom cs & Pol cy

Document Informat on

Access on Number: WOS:000531940000001 ISSN: 0303-1853

eISSN: 2078-0400

Other Informat on

C ted References n Web of Sc ence Core Collect on: 40 T mes C ted n Web of Sc ence Core Collect on: 0