Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?
运用动态溢出指数，发现COVID-19威胁后至俄乌战争期间农产品市场一体化增强，冲突时期溢出传导创纪录，小麦、玉米和大麦是主要传导者，加剧了全球粮食市场不确定性。
This paper applies the dynamic Diebold–Yilmaz and Baruník–Křehlík spillover indices to document a closer integration between agricultural commodity markets in the period when markets rebounded after the COVID-19 threat to the Russia–Ukraine war. We also identified the record return spillover transmission among agricultural commodities during a time of conflict and the strongest transmitters are wheat, maize and barley. The findings emphasise an increasing uncertainty to the global food market.