Dynamic connectedness and volatility spillover in the Brazilian agricultural market after the Covid-19 pandemic
Agricultural commodities price volatilities experienced an increase in the period of 2006 2008 and since then, the shocks from the global crises have been affecting these markets, as the Covid-19 pandemic period. Many studies have evaluated volatility spillovers around agricultural markets by focus...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universidade de São Paulo (USP)
2024-12-01
|
| Series: | Estudos Econômicos |
| Subjects: | |
| Online Access: | https://www.revistas.usp.br/ee/article/view/220925 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832584054769188864 |
|---|---|
| author | Daniel Henrique Dario Capitani Luiz Eduardo Gaio |
| author_facet | Daniel Henrique Dario Capitani Luiz Eduardo Gaio |
| author_sort | Daniel Henrique Dario Capitani |
| collection | DOAJ |
| description |
Agricultural commodities price volatilities experienced an increase in the period of 2006 2008 and since then, the shocks from the global crises have been affecting these markets, as the Covid-19 pandemic period. Many studies have evaluated volatility spillovers around agricultural markets by focusing on crises cycles. However, few of these studies focus on emerging markets. This study examines the impacts of the Covid 19 pandemic on Brazilian agricultural price volatility. This study also considers the USD/BRL exchange rate and crude oil prices. We examine the volatility spillover effects and dynamic connectedness among the markets. A TVP-VAR model was applied, considering the specifications proposed by Antonakakis et al. (2020). The results indicate an increase in volatility connectedness after the Covid-19 outbreak, where volatility transmission affected all markets domestically. These effects were still significant after the Russia Ukraine conflict and dissipated from mid-2022 onwards. Overall, the exchange rate and soybean were the largest net transmitters during the pre- and post-Covid-19 pandemic, and corn was a net receiver. Crude oil had a significant transmission effect after a short period after the Covid-19 outbreak and the Russia-Ukraine war. Additionally, wheat was a significant volatility receiver after the Russia-Ukraine conflict and rice was a net transmitter during the Covid-19 pandemic. These findings corroborate that the crises cycles also affect Brazil but highlight that in the context of an emerging market, the exchange rate is more important in explaining agricultural price dynamics than crude oil.
|
| format | Article |
| id | doaj-art-2d55d3ace6cd4cf29227938b66b8eeaa |
| institution | Kabale University |
| issn | 0101-4161 1980-5357 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | Universidade de São Paulo (USP) |
| record_format | Article |
| series | Estudos Econômicos |
| spelling | doaj-art-2d55d3ace6cd4cf29227938b66b8eeaa2025-01-27T17:37:54ZengUniversidade de São Paulo (USP)Estudos Econômicos0101-41611980-53572024-12-0154410.1590/1980-53575446dclgDynamic connectedness and volatility spillover in the Brazilian agricultural market after the Covid-19 pandemicDaniel Henrique Dario Capitani0https://orcid.org/0000-0002-8025-4152Luiz Eduardo Gaio1https://orcid.org/0000-0003-3106-7649Universidade Estadual de Campinas. Faculdade de Ciências Aplicadas Universidade Estadual de Campinas. Faculdade de Ciências Aplicadas Agricultural commodities price volatilities experienced an increase in the period of 2006 2008 and since then, the shocks from the global crises have been affecting these markets, as the Covid-19 pandemic period. Many studies have evaluated volatility spillovers around agricultural markets by focusing on crises cycles. However, few of these studies focus on emerging markets. This study examines the impacts of the Covid 19 pandemic on Brazilian agricultural price volatility. This study also considers the USD/BRL exchange rate and crude oil prices. We examine the volatility spillover effects and dynamic connectedness among the markets. A TVP-VAR model was applied, considering the specifications proposed by Antonakakis et al. (2020). The results indicate an increase in volatility connectedness after the Covid-19 outbreak, where volatility transmission affected all markets domestically. These effects were still significant after the Russia Ukraine conflict and dissipated from mid-2022 onwards. Overall, the exchange rate and soybean were the largest net transmitters during the pre- and post-Covid-19 pandemic, and corn was a net receiver. Crude oil had a significant transmission effect after a short period after the Covid-19 outbreak and the Russia-Ukraine war. Additionally, wheat was a significant volatility receiver after the Russia-Ukraine conflict and rice was a net transmitter during the Covid-19 pandemic. These findings corroborate that the crises cycles also affect Brazil but highlight that in the context of an emerging market, the exchange rate is more important in explaining agricultural price dynamics than crude oil. https://www.revistas.usp.br/ee/article/view/220925Commodities marketDynamic ConnectednessVolatility SpilloverCovid-19 pandemicBrazil |
| spellingShingle | Daniel Henrique Dario Capitani Luiz Eduardo Gaio Dynamic connectedness and volatility spillover in the Brazilian agricultural market after the Covid-19 pandemic Estudos Econômicos Commodities market Dynamic Connectedness Volatility Spillover Covid-19 pandemic Brazil |
| title | Dynamic connectedness and volatility spillover in the Brazilian agricultural market after the Covid-19 pandemic |
| title_full | Dynamic connectedness and volatility spillover in the Brazilian agricultural market after the Covid-19 pandemic |
| title_fullStr | Dynamic connectedness and volatility spillover in the Brazilian agricultural market after the Covid-19 pandemic |
| title_full_unstemmed | Dynamic connectedness and volatility spillover in the Brazilian agricultural market after the Covid-19 pandemic |
| title_short | Dynamic connectedness and volatility spillover in the Brazilian agricultural market after the Covid-19 pandemic |
| title_sort | dynamic connectedness and volatility spillover in the brazilian agricultural market after the covid 19 pandemic |
| topic | Commodities market Dynamic Connectedness Volatility Spillover Covid-19 pandemic Brazil |
| url | https://www.revistas.usp.br/ee/article/view/220925 |
| work_keys_str_mv | AT danielhenriquedariocapitani dynamicconnectednessandvolatilityspilloverinthebrazilianagriculturalmarketafterthecovid19pandemic AT luizeduardogaio dynamicconnectednessandvolatilityspilloverinthebrazilianagriculturalmarketafterthecovid19pandemic |