Abstract
This study examines the dynamic extreme dependence between oil markets and a set of non-exploited agricultural assets (Barley, coffee, maize, rice, sorghum, sugar, wheat) prices using 1990–2023 monthly prices data. Our time-varying copula models allow us to investigate nonlinear and asymmetric dependence between pairwise assets. We find evidence of positive exceedance correlation at small and medium quantiles/thresholds and negative exceedance correlation for quantiles higher than 0.6 for five out of seven food assets. Findings also indicate a tent-shaped quantile dependence for all food assets and demonstrate a time variation in the association path between oil and food asset returns. Important policy implications are derived from empirical findings.
Recommended Citation
Kisswani, K. M., Lahiani, A., & Fikru, M. G. (2025). Exploring Dynamic Extreme Dependence of Oil and Agricultural Markets. International Review of Economics and Finance, 99 Elsevier.
The definitive version is available at https://doi.org/10.1016/j.iref.2025.104032
Department(s)
Economics
Publication Status
Open Access
Keywords and Phrases
Co-movement; Copula; Food price; Oil price
International Standard Serial Number (ISSN)
1059-0560
Document Type
Article - Journal
Document Version
Citation
File Type
text
Language(s)
English
Rights
© 2025 Elsevier, All rights reserved.
Publication Date
01 Apr 2025
