Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis
This paper employed wavelet coherence and partial wavelet coherence to investigate the time-frequency effect of global economic policy uncertainty on the comovement of five agricultural commodities such as maize, oat, rice, soybean, and wheat using monthly data from January 1997 to December 2019. In...
Saved in:
| Main Authors: | , , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
|
| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/8848424 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832548917229649920 |
|---|---|
| author | Siaw Frimpong Emmanuel N. Gyamfi Zangina Ishaq Samuel Kwaku Agyei Daniel Agyapong Anokye M. Adam |
| author_facet | Siaw Frimpong Emmanuel N. Gyamfi Zangina Ishaq Samuel Kwaku Agyei Daniel Agyapong Anokye M. Adam |
| author_sort | Siaw Frimpong |
| collection | DOAJ |
| description | This paper employed wavelet coherence and partial wavelet coherence to investigate the time-frequency effect of global economic policy uncertainty on the comovement of five agricultural commodities such as maize, oat, rice, soybean, and wheat using monthly data from January 1997 to December 2019. In general, we observed heterogeneity in comovement structures of the agricultural commodities market at different time-frequency scales which are profound at high frequencies from the bivariate wavelet coherence. The partial wavelet coherence analysis shows that global economic policy uncertainty is a driver of agricultural commodity market connectedness. This implies that extreme changes in economic policy uncertainty have the tendency to influence commodity price comovement. This poses risk to the stability of the agricultural commodities market, which requires the policymaker’s intervention to protect against the spillover risk contagion effect in uncertain times. |
| format | Article |
| id | doaj-art-c43c53a508104cb1a106dd9f5705d6fa |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-c43c53a508104cb1a106dd9f5705d6fa2025-02-03T06:12:49ZengWileyComplexity1076-27871099-05262021-01-01202110.1155/2021/88484248848424Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence AnalysisSiaw Frimpong0Emmanuel N. Gyamfi1Zangina Ishaq2Samuel Kwaku Agyei3Daniel Agyapong4Anokye M. Adam5Department of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaGIMPA Business School, Accra, GhanaDepartment of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaDepartment of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaDepartment of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaDepartment of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaThis paper employed wavelet coherence and partial wavelet coherence to investigate the time-frequency effect of global economic policy uncertainty on the comovement of five agricultural commodities such as maize, oat, rice, soybean, and wheat using monthly data from January 1997 to December 2019. In general, we observed heterogeneity in comovement structures of the agricultural commodities market at different time-frequency scales which are profound at high frequencies from the bivariate wavelet coherence. The partial wavelet coherence analysis shows that global economic policy uncertainty is a driver of agricultural commodity market connectedness. This implies that extreme changes in economic policy uncertainty have the tendency to influence commodity price comovement. This poses risk to the stability of the agricultural commodities market, which requires the policymaker’s intervention to protect against the spillover risk contagion effect in uncertain times.http://dx.doi.org/10.1155/2021/8848424 |
| spellingShingle | Siaw Frimpong Emmanuel N. Gyamfi Zangina Ishaq Samuel Kwaku Agyei Daniel Agyapong Anokye M. Adam Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis Complexity |
| title | Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis |
| title_full | Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis |
| title_fullStr | Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis |
| title_full_unstemmed | Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis |
| title_short | Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis |
| title_sort | can global economic policy uncertainty drive the interdependence of agricultural commodity prices evidence from partial wavelet coherence analysis |
| url | http://dx.doi.org/10.1155/2021/8848424 |
| work_keys_str_mv | AT siawfrimpong canglobaleconomicpolicyuncertaintydrivetheinterdependenceofagriculturalcommoditypricesevidencefrompartialwaveletcoherenceanalysis AT emmanuelngyamfi canglobaleconomicpolicyuncertaintydrivetheinterdependenceofagriculturalcommoditypricesevidencefrompartialwaveletcoherenceanalysis AT zanginaishaq canglobaleconomicpolicyuncertaintydrivetheinterdependenceofagriculturalcommoditypricesevidencefrompartialwaveletcoherenceanalysis AT samuelkwakuagyei canglobaleconomicpolicyuncertaintydrivetheinterdependenceofagriculturalcommoditypricesevidencefrompartialwaveletcoherenceanalysis AT danielagyapong canglobaleconomicpolicyuncertaintydrivetheinterdependenceofagriculturalcommoditypricesevidencefrompartialwaveletcoherenceanalysis AT anokyemadam canglobaleconomicpolicyuncertaintydrivetheinterdependenceofagriculturalcommoditypricesevidencefrompartialwaveletcoherenceanalysis |