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Measuring dynamic spillovers between crude oil and grain commodity markets: A comparative analysis of demand and supply shocks

Author

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  • Ni, Guohua
  • CHERIF, Houda HADJ
  • Chen, Zhenling
Abstract
This study explores spillover effects between oil and grain markets in response to supply- and demand-side shocks using the TVP-VAR-DY approach. Spillover effects among markets are enhanced under both demand and supply shocks. Wheat consistently acts as the transmitter of shocks for both types of events. Furthermore, corn is transmitter of spillovers to other markets. In contrast, soybeans receive spillovers during supply-side shocks and transmit them during demand-side shocks. Oil initially transmits shocks to other markets during demand-side events, but transitions to a receiver role as demand diminishes and supply-side crises emerge. Measures should be taken to reduce market risks when major events occur.

Suggested Citation

  • Ni, Guohua & CHERIF, Houda HADJ & Chen, Zhenling, 2024. "Measuring dynamic spillovers between crude oil and grain commodity markets: A comparative analysis of demand and supply shocks," Finance Research Letters, Elsevier, vol. 67(PA).
    • Handle: RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007785
    DOI: 10.1016/j.frl.2024.105748
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    References listed on IDEAS

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    Cited by:

    1. Ying-Hui Shao & Yan-Hong Yang & Wei-Xing Zhou, 2024. "Risk spillovers between the BRICS and the U.S. staple grain futures markets," Papers 2412.15738, arXiv.org, revised Dec 2024.
    2. Ni, Guohua & Teng, Man & Chen, Zhenling & Wu, Yunsong & He, Wenjia & Su, Bin, 2024. "Exploring the impacts of major events on the global oil and food markets," Socio-Economic Planning Sciences, Elsevier, vol. 95(C).

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