From Fields to Futures: Connectedness Among Edible Oil and Oilseeds- Where Soybean Leads, Others Follow

IF 2.5 Q2 ECONOMICS Asia-Pacific Financial Markets Pub Date : 2024-05-02 DOI:10.1007/s10690-024-09458-7
Nilotpal Sarma, Priyanshu Tiwari, Prabina Rajib
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Abstract

The primary purpose of this paper is to analyze the connectedness between edible oils and oilseeds from various international commodity markets and the U.S. Economic Policy Uncertainty Index (EPU). The TVP-VAR method has been adopted in this paper to analyze the inter-commodity connectedness and spillover relationships among them. We also study how the effect on the price of one edible oil or oilseed affects other edible oils in the international markets. For this purpose, daily closing prices of near-month contracts of 6 edible oil commodities and the Economic Policy Uncertainty (EPU) index have been considered for a period that starts from January 2013 to April 2023. Results show a moderate level of connectedness among the edible oil and oilseed commodities; however, connectedness increases during times of economic or geopolitical crisis. Results also show that soybean is the most dominant commodity in the edible oil and oilseed commodity nexus, and rapeseed meal is the commodity with the lowest transmission power.

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从田间到期货:食用油和油籽之间的联系--大豆领先,其他品种跟进
本文的主要目的是分析各种国际商品市场的食用油和油籽与美国经济政策不确定性指数(EPU)之间的关联性。本文采用 TVP-VAR 方法分析了商品之间的关联性和溢出关系。我们还研究了一种食用油或油籽的价格对国际市场上其他食用油的影响。为此,我们考虑了 2013 年 1 月至 2023 年 4 月期间 6 种食用油商品近月合约的每日收盘价和经济政策不确定性(EPU)指数。结果显示,食用油和油籽商品之间的关联程度适中;但在经济或地缘政治危机期间,关联程度会增加。结果还显示,大豆是食用油和油籽商品关系中最主要的商品,而菜籽粕是传导能力最低的商品。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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