The nexus between carbon, energy and agrifood—A contemporaneous and lagged spillover analysis

Abstract

Global concern about energy, food security and climate change is on the rise. We investigate the spillover effects amidst carbon, energy and agrifood markets. Applying the novel $R^2$ decomposed connectedness approach we find that the impact of the contemporaneous spillover in the total connectedness is significant, while the lagged effects contribute substantially when looking at the net spillover. Corn appears as the main net transmitter and carbon is mostly a net receiver. The Russian–Ukraine war affected the markets, given Ukraine’s role in food production and the impact of the conflict on Europe’s access to natural gas, increasing coal use.