Investigating the spillovers between energy, food, and agricultural commodity markets: New insights from the quantile coherency approach
The prime objective of this research is to analyze the spillovers and associations between
the commodity markets of energy, food, and agriculture products. In doing so, the authors
used the most recently available monthly data covering the period of 1960M01 to 2021M04.
For empirical analysis, the authors employ the quantile coherency method of Baruník and
Kley (2019) to analyze the spillovers between energy, food, and agricultural commodities.
The empirical findings indicate less spillover relationships between oil and agriculture on …
the commodity markets of energy, food, and agriculture products. In doing so, the authors
used the most recently available monthly data covering the period of 1960M01 to 2021M04.
For empirical analysis, the authors employ the quantile coherency method of Baruník and
Kley (2019) to analyze the spillovers between energy, food, and agricultural commodities.
The empirical findings indicate less spillover relationships between oil and agriculture on …
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