Quantile time−frequency connectedness between energy and agriculture markets: a study during the COVID-19 crisis and the Russo−Ukrainian conflict

Abstract

Purpose This paper aims to examine the volatility connectedness between energy and agricultural commodities across different quantiles and time horizons. Design/methodology/approach This study uses the quantile frequency connectedness approach on daily data spanning from January 2019 to November 2023. Findings The results indicate a sharp increase in total connectedness during the COVID-19 crisis and the Russian−Ukrainian conflict, suggesting that both the crisis and the war contribute to volatility spillover among energy and soft commodities. In fact, the findings suggest that, in the short term, the effects of the pandemic have a greater impact on dynamic risk spillover than those of the war. However, over the long term, the consequences of geopolitical tensions related to the war exert a more significant influence compared to the effects of the pandemic. Originality/value This study confirms that energy market prices and oil uncertainty play a significant role in explaining fluctuations in agricultural commodities across diverse timeframes, frequencies and quantiles. Particularly, at extreme quantiles, the results indicate that large shocks have a more pronounced impact than small shocks. These findings hold important implications for policymakers and market participants.