Structure dependence between oil and agricultural commodities returns : the role of geopolitical risks

dc.contributor.authorTiwari, Aviral Kumar
dc.contributor.authorBoachie, Micheal Kofi
dc.contributor.authorSuleman, Muhammed Tahir
dc.contributor.authorGupta, Rangan
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2021-05-18T07:28:46Z
dc.date.issued2021-03
dc.description.abstractThe link between energy and agricultural markets have been studied extensively in the last two decades. Nonetheless, the literature fails to consider the effects of geopolitical risks (GPRs), geopolitical risks due to acts and GPRs due to threats in studying the link between the two markets. Addressing these issues, we examine the dependence between crude oil prices and agricultural commodities (oats, corn, wheat and soybean) for a period starting from April 4, 1990, to February 15, 2019. Our study used copula-based techniques to study the co-movement. We find that strong co-movements between energy markets and agricultural markets, which are negatively influenced by GPRs. Hence, suggest the ability of agricultural commodities, particularly corn, oats and wheat, to act as a hedge against oil returns downturn resulting from geopolitical unrest. This evidence of hedging is further vindicated, when we observe that agricultural and oil markets are negatively correlated when the former is bullish and the latter bearish.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2021-12-15
dc.description.librarianhj2021en_ZA
dc.description.urihttp://www.elsevier.com/locate/energyen_ZA
dc.identifier.citationTiwari, A.K., Boachie, M.K., Suleman, M.T. et al. 2021, 'Structure dependence between oil and agricultural commodities returns : the role of geopolitical risks', Energy, vol. 219, art. 119584, pp. 1-13.en_ZA
dc.identifier.issn0360-5442 (print)
dc.identifier.issn1873-6785 (online)
dc.identifier.other10.1016/j.energy.2020.119584
dc.identifier.urihttp://hdl.handle.net/2263/79928
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2020 Published by Elsevier Ltd. Notice : this is the author’s version of a work that was accepted for publication in Energy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Energy, vol. 219, art. 119584, pp. 1-13, 2021. doi : 10.1016/j.energy.2020.119584.en_ZA
dc.subjectGeopolitical risks (GPRs)en_ZA
dc.subjectOilen_ZA
dc.subjectAgricultural commoditiesen_ZA
dc.subjectCopula modelsen_ZA
dc.titleStructure dependence between oil and agricultural commodities returns : the role of geopolitical risksen_ZA
dc.typePostprint Articleen_ZA

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