Return and Volatility Transmission between Crude Oil and Agricultural Commodities

Ashish Kumar and Dilip Kumar

The present study has attempted to contribute to the existing literature on oil and agricultural commodity prices by examining the dynamic linkages between crude oil prices and agricultural commodities’ like wheat, rice, oats, soybean corn and cotton over a period of 25 years ranging from 1990 to 2015. The core purpose of this study is to examine the return and volatility transmission mechanism between crude oil and agricultural commodities. Presence of contagion from crude oil market to major agricultural commodities and vice-versa is analysed by applying the vector autoregressive (VAR) asymmetric dynamic conditional correlation bivariate generalised autoregressive conditional heteroskedasticity (VAR-DCC-BVGARCH). The findings of the present study have highlighted the wider scope of portfolio diversification using crude oil and agricultural commodities.

DOI : https://doi.org/10.21102/irbrp.2016.09.122.09