Publisher:

Instytut Rozwoju Wsi i Rolnictwa Polskiej Akademii Nauk

Place of publishing:

Warszawa

Description:

25 cm

Type of object:

Journal/Article

Abstract:

The study aims to assess the price volatility connectedness across agricultural and energy futures markets, and in particular, to identify the markets that are the main sources of price volatility among the markets considered. We analysed volatility spillovers among wheat, maize, rapeseed, Brent oil and natural gas on the Euronext and ICE exchange in the period from January 2017 to January 2023. We used the spillover index of Diebold and Yilmaz based on a generalised forecast error variance decomposition and its frequency extension of Barunik and Křehlík. The period from the outbreak of the COVID-19 pandemic to the beginning of 2023 brings an increase in price volatility in the food and energy markets. In the COVID-19 pandemic, the volatility spillover effect among markets was twice as strong as in 2017–2019, and three times stronger than during the Russia–Ukraine war. The main source of market shocks during the spread of the SARS-CoV-2 virus was the rapeseed market, while during the war in Ukraine this role was taken over by the wheat market. The volatility was not immediately transferred, thus providing an opportunity to implement risk management procedures to mitigate the impact of shocks from one market to another.

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Relation:

Village & Agriculture

Volume:

2023

Issue:

2 (199)

Start page:

41

End page:

66

Detailed Resource Type:

Article

Resource Identifier:

oai:rcin.org.pl:241225

Source:

click here to follow the link

Language:

pl

Digitizing institution:

Institute of Rural and Agricultural Development of the Polish Academy of Sciences

Original in:

Institute of Rural and Agricultural Development of the Polish Academy of Sciences

Access:

Open