From Fields to Futures: Connectedness Among Edible Oil and Oilseeds—Where Soybean Leads, Others Follow
Published in Asia-Pacific Financial Markets, 2024
This paper explores the connectedness between edible oils and oilseeds across international commodity markets and their relationship with the U.S. Economic Policy Uncertainty (EPU) Index. Utilizing the TVP-VAR method, it uncovers the inter-commodity spillover dynamics and highlights the influence of geopolitical and economic crises on connectedness levels.
Key findings include:
- A moderate level of connectedness among the studied commodities during stable periods.
- Significant spikes in connectedness during times of crisis.
- Soybean emerges as the most influential commodity, significantly affecting others in the edible oil market.
The analysis is based on daily closing prices of near-month contracts of six edible oil commodities, spanning January 2013 to April 2023.
For further details, refer to the full paper.
Recommended citation: Nilotpal Sarma, Priyanshu Tiwari, Prabina Rajib. (2024). "From Fields to Futures: Connectedness Among Edible Oil and Oilseeds—Where Soybean Leads, Others Follow." Asia-Pacific Financial Markets. Springer Japan, 1-17.
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