Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change

In this paper, we examine the contemporaneous and lagged spillovers among the agricultural, crude oil, carbon emission allowance, and climate change markets. Adopting the $R^2$ decomposed connectedness approach, our empirical analysis reveals several key findings. First, the overall total connectedness index (TCI) dynamics have been mainly dominated by contemporaneous effects. Second, there are heterogeneous spillover effects among agricultural markets. Specially, corn, soybean meal, and wheat are the major risk transmitters to this system, while barley, cocoa, and lean hog are the main risk receivers of shocks. Third, we also find that climate change has significant spillovers to other markets.