Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets
研究了2019年底至2023年底能源与农产品市场间的尾部关联性，发现原油是主要波动传导者，俄乌冲突改变了农产品从波动发出者到接收者的角色，对投资者和政策制定者有参考价值。
Should investors and policy makers in agricultural markets consider oil market's incontestable impact on portfolio risk management? This paper investigates the time-varying market linkages between energy and agricultural commodities in the presence of two important exogenous shocks, viz., the COVID-19 pandemic and the subsequent 2022 Russia–Ukraine military conflict. We use a novel time-varying parameter vector autoregressive model with a common factor error structure to estimate the tail connectedness between energy and agricultural commodities for the period December 31, 2019 to December 18, 2023. Our findings provide clear evidence of asymmetry in the volatility evolution. We determine that volatility spillover magnitudes are much stronger across quantiles than at the mean. We note that crude oil is the main transmitter of shocks in the system before the onset of the 2022 Russia-Ukraine conflict at the lower tail of the distribution. While crude oil and natural gas transmit volatility in both pre- and post-conflict announcement periods. Furthermore, the 2022 Russia–Ukraine conflict is found to impact the transmission of volatility between energy and agricultural commodities. Numerous agricultural commodities are observed to shift their position from transmitters to receivers of volatility, and vice versa, due to the military conflict in Ukraine. Our causality results depict time-varying patterns in the connectedness between crude oil and other commodities. We determine that crude oil has varying impact on agricultural markets in pre- and post-conflict announcement periods. Commodities for which both conflicting countries are major world exports of, such as wheat, have notably increased their dependency on crude oil. Thus, we advise investors and policymakers in agricultural markets to seriously consider oil market's impact on portfolio risk management and monitoring policies.