Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain

Muhammad Abubakr Naeem, Sitara Karim, Mudassar Hasan, Brian M. Lucey, Sang Hoon Kang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

41 Citations (Scopus)


Oil shocks demonstrate an effective economic event in the face of several unprecedented financial challenges. The current study endeavors to investigate the nexus between oil shocks and agriculture commodities with portfolio implications. Building on the novel techniques of time- and frequency spillovers and portfolio analysis, we unlocked the potential connectedness networks as well as diversification and trading strategies for investors and portfolio managers. Our findings document strong intra and weaker inter-connectedness between oil shocks and agriculture commodities with greater time-varying spillovers in the short- and long-run. We framed valuable intuitions for policymakers, macro-prudential authorities, investors, and portfolio managers.

Original languageEnglish
Article number106148
Number of pages18
JournalEnergy Economics
Early online date24 Jun 2022
Publication statusPublished - 1 Aug 2022
Externally publishedYes

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