Time-frequency causality and connectedness between international prices of energy,food, industry,agriculture and metals |
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| Affiliation: | 1. Indian Institute of Management Lucknow, India;2. Indian Institute of Management Raipur, India;1. Department of Business Administration, Pusan National University, Busan 609-735, Republic of Korea;2. Centre for Applied Financial Studies (CAFS), School of Commerce, UniSA Business School, University of South Australia, Adelaide, SA, Australia;3. Department of Economics, Pusan National University, Jangjeon2-Dong, Geumjeong-Gu, Busan, 609-735, Republic of Korea;1. College of Business, Zayed University, Abu Dhabi, UAE;3. Department of Business Studies, Namal Institute, 30 KM Talagang Road, Mianwali, Pakistan;4. Montpellier Business School, 2300, avenue des Moulins, 34185 Montpellier cedex 4, France;1. School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China;2. Center for Energy and Environmental Policy Research, Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;3. USEK Business School, Holy Spirit University of Kaslik Jounieh, Lebanon;4. Center for Energy and Sustainable Development, Montpellier Business School, Montpellier, France;5. Montpellier Business School, Montpellier, France;1. Department of Actuarial and Financial Economics, University of Valencia, Spain;2. Energy and Sustainable Development (ESD), Montpellier Business School, France;3. Department of Economics and Finance, University of Castilla-La Mancha, Spain;1. The World Bank - 1818 H Street, Washington, DC 20036, USA;2. Pomona College, Department of Economics, Carnegie 205 - 425 N. College Avenue, Claremont, CA 91711, USA;3. International Food Policy Research Institute (IFPRI) - 2033 K Street NW, Washington, DC 20006, USA |
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| Abstract: | This study analyzes the lead-lag relationship between the price indices of energy fuels and each of food, industrial inputs, agriculture raw materials, metals and beverages in the time-frequency domain. To this end, we first use the wavelet coherency and phase-differences. Next, we use the Diebold and Yilmaz (2012) and Barunik and Krehlik (2017) spillover indices to analyse the connectedness among the set of the price indices under consideration. The period of the study is 1990m1 to 2017m5. The wavelet coherency results reveal that there are important and significant relations between the fuel and food prices, the fuel and industrial prices, and the fuel and metal prices. These results also show that there are phase relationships between those paired prices. The volatility spillover results indicate that the agricultural sector is the most affected by shocks from the other markets. The return series of the industrial input prices at all frequencies appears to be the main source of volatility transmission to the prices of the other commodities over the whole period. This finding underlines the relevance of the industrial inputs to policy makers, particularly when they design policies to provide incentives related to industrial production. |
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| Keywords: | Coherency Time and frequency connectedness Fuel and other prices |
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