能源与农产品之间的动态联系：从 COVID-19 大流行病和俄罗斯-乌克兰冲突中得到的启示

IF 2.5 Q2 ECONOMICS Eurasian Economic Review Pub Date : 2024-06-03 DOI:10.1007/s40822-024-00279-7

Noureddine Benlagha, Wafa Abdelmalek

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摘要

本文研究了在 COVID-19 大流行和俄罗斯-乌克兰冲突之前和期间，农产品、原油和乙醇之间的相互关联模式及其决定因素。我们采用时变参数向量自回归模型来分析能源和农产品之间的相互关联行为。此外，我们还使用量化回归评估金融和经济基本面对商品市场传导机制的影响。实证研究结果表明，能源和农产品之间存在时变和危机反应性联系，尤其是在 COVID-19 大流行和俄罗斯-乌克兰冲突期间。此外，经济和金融市场的不确定性成为这些商品类别之间相互联系的重要决定因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict

This paper investigates the interconnectedness patterns between agricultural commodities, crude oil, and ethanol, along with their determinants before and during the COVID-19 pandemic and the Russia–Ukraine conflict. We employ a time-varying parameter vector autoregression model to analyze interconnected behaviors among energy and agricultural commodities. Additionally, quantile regression is used to assess the impact of financial and economic fundamentals on transmission mechanisms in commodity markets. The empirical findings reveal time-varying and crisis-responsive linkages between energy and agricultural commodities, particularly during the COVID-19 pandemic and Russia–Ukraine conflict. Furthermore, economic and financial market uncertainties emerge as significant determinants of the interconnectedness between these commodity groups.

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来源期刊

Eurasian Economic Review ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

期刊介绍： The mission of Eurasian Economic Review is to publish peer-reviewed empirical research papers that test, extend, or build theory and contribute to practice. All empirical methods - including, but not limited to, qualitative, quantitative, field, laboratory, and any combination of methods - are welcome. Empirical, theoretical and methodological articles from all fields of finance and applied macroeconomics are featured in the journal. Theoretical and/or review articles that integrate existing bodies of research and that provide new insights into the field are highly encouraged. The journal has a broad scope, addressing such issues as: financial systems and regulation, corporate and start-up finance, macro and sustainable finance, finance and innovation, consumer finance, public policies on financial markets within local, regional, national and international contexts, money and banking, and the interface of labor and financial economics. The macroeconomics coverage includes topics from monetary economics, labor economics, international economics and development economics. Eurasian Economic Review is published quarterly. To be published in Eurasian Economic Review, a manuscript must make strong empirical and/or theoretical contributions and highlight the significance of those contributions to our field. Consequently, preference is given to submissions that test, extend, or build strong theoretical frameworks while empirically examining issues with high importance for theory and practice. Eurasian Economic Review is not tied to any national context. Although it focuses on Europe and Asia, all papers from related fields on any region or country are highly encouraged. Single country studies, cross-country or regional studies can be submitted.