Asymmetric risk spillovers between oil and agricultural commodities

• Published in: Energy policy Vol. 118; pp. 182 - 198
• Main Authors: Shahzad, Syed Jawad Hussain, Hernandez, Jose Arreola, Al-Yahyaee, Khamis Hamed, Jammazi, Rania
• Format: Journal Article
• Language: English
• Published: Kidlington Elsevier Ltd 01.07.2018; Elsevier Science Ltd; Elsevier
• Subjects: Agricultural commodities; Agricultural economics; Agriculture; Agronomy; Asymmetry; Business administration; Commodities; Commodity brokers; Commodity prices; Corn; CoVaR; Crude oil; Crude oil prices; Dependence; Economic factors; Economics; education; Energy policy; farms; Global economy; Health care expenditures; Health education; Humanities and Social Sciences; laws and regulations; Legislation; markets; Oil prices; oils; Petroleum; Policy making; Prices; Pricing; Rice; Risk; Risk spillovers; Social costs; Soya beans; Soybeans; Spillover effect; Static and time-varying copulas; Symmetry; Wheat; Oil prices; C5; CoVaR; Agricultural commodities; G1; Static and time-varying copulas; G14; Risk spillovers

Increase in agricultural commodities’ prices not only increases economic and social costs, it may also affect health, education and family ties. The dependence and risk transmission between oil prices and the price of agricultural commodities is subject to possible symmetric or asymmetric changes du...