Food security in Pakistan: Investigating the spillover effect of Russia-Ukraine conflict

Abstract

This is study investigates inter-connectedness of Russia-Ukraine conflict with wheat prices in Pakistan through oil prices, exchange rate, economic policy uncertainty. This objective is realized by employing cross-quantilogram, rolling window multiple correlation, and TVP-Var approaches on weekly data from 7 to 1–2021 to 9–3–2023. The estimated results of cross-quantilogram, rolling window multiple correlation reveal significant positive co-movement between Russian and Ukraine conflict and wheat prices. The major variables responsible for the spillover effect are oil prices, depreciation of exchange rate, and economic policy uncertainty. The finding urges to stabilize exchange rate and economic policy uncertainty along with finding alternative cheap energy sources.