Matches in SemOpenAlex for { <https://semopenalex.org/work/W4297322801> ?p ?o ?g. }
- W4297322801 endingPage "100623" @default.
- W4297322801 startingPage "100623" @default.
- W4297322801 abstract "This study examines the time-frequency connectedness of food commodities (cereals, dairy, food, meat, vegetable oil, and sugar) in the Food and Agriculture Organization's world food indices. With a monthly-frequency dataset covering February 1990 to October 2021, we utilise the returns spillover index approach of Baruník and Křehlík (2018). The results are robust to the time-varying parameter vector autoregressive (TVP-VAR) connectedness approach. The findings explicate that food commodities are highly connected in the short- and long-term horizons. The dynamic total connectedness varies from 15% to 80% in the short term, 1% to 70%, in the medium-term, and 1% to 75% in the long-term, with high fluctuations in notable crisis periods. Contagious returns spillovers between food commodities are propagated by vegetable oil. Diversification and safe-haven properties of food commodities are consistently found in the meat market across tranquil and exuberant trading periods, respectively. The safe-haven role of sugar in recent episodes of financial crises is highlighted by our findings. The economic, policy, and portfolio implications of our results are discussed." @default.
- W4297322801 created "2022-09-28" @default.
- W4297322801 creator A5001954485 @default.
- W4297322801 creator A5017958322 @default.
- W4297322801 creator A5045641636 @default.
- W4297322801 creator A5088856170 @default.
- W4297322801 date "2022-12-01" @default.
- W4297322801 modified "2023-10-09" @default.
- W4297322801 title "Time-frequency connectedness between food commodities: New implications for portfolio diversification" @default.
- W4297322801 cites W1712777634 @default.
- W4297322801 cites W2039734130 @default.
- W4297322801 cites W2107802909 @default.
- W4297322801 cites W2111255674 @default.
- W4297322801 cites W2120890373 @default.
- W4297322801 cites W2136043707 @default.
- W4297322801 cites W2386756279 @default.
- W4297322801 cites W2552296101 @default.
- W4297322801 cites W2564328920 @default.
- W4297322801 cites W2779302751 @default.
- W4297322801 cites W2898485720 @default.
- W4297322801 cites W2902406383 @default.
- W4297322801 cites W2913590129 @default.
- W4297322801 cites W2965264430 @default.
- W4297322801 cites W3000432730 @default.
- W4297322801 cites W3016767801 @default.
- W4297322801 cites W3017452399 @default.
- W4297322801 cites W3024215937 @default.
- W4297322801 cites W3035466540 @default.
- W4297322801 cites W3046599415 @default.
- W4297322801 cites W3087625704 @default.
- W4297322801 cites W3106529471 @default.
- W4297322801 cites W3110837671 @default.
- W4297322801 cites W3111673827 @default.
- W4297322801 cites W3123068586 @default.
- W4297322801 cites W3123787443 @default.
- W4297322801 cites W3128764863 @default.
- W4297322801 cites W3130717177 @default.
- W4297322801 cites W3131073748 @default.
- W4297322801 cites W3133939297 @default.
- W4297322801 cites W3159797634 @default.
- W4297322801 cites W3167367843 @default.
- W4297322801 cites W3172227828 @default.
- W4297322801 cites W3213202743 @default.
- W4297322801 cites W4200337455 @default.
- W4297322801 cites W4205857584 @default.
- W4297322801 cites W4224058121 @default.
- W4297322801 cites W4225113178 @default.
- W4297322801 cites W4231546411 @default.
- W4297322801 cites W4284989250 @default.
- W4297322801 cites W4286633343 @default.
- W4297322801 cites W4292260064 @default.
- W4297322801 cites W4293394077 @default.
- W4297322801 doi "https://doi.org/10.1016/j.envc.2022.100623" @default.
- W4297322801 hasPublicationYear "2022" @default.
- W4297322801 type Work @default.
- W4297322801 citedByCount "6" @default.
- W4297322801 countsByYear W42973228012022 @default.
- W4297322801 countsByYear W42973228012023 @default.
- W4297322801 crossrefType "journal-article" @default.
- W4297322801 hasAuthorship W4297322801A5001954485 @default.
- W4297322801 hasAuthorship W4297322801A5017958322 @default.
- W4297322801 hasAuthorship W4297322801A5045641636 @default.
- W4297322801 hasAuthorship W4297322801A5088856170 @default.
- W4297322801 hasBestOaLocation W42973228011 @default.
- W4297322801 hasConcept C106159729 @default.
- W4297322801 hasConcept C118518473 @default.
- W4297322801 hasConcept C136764020 @default.
- W4297322801 hasConcept C144133560 @default.
- W4297322801 hasConcept C15744967 @default.
- W4297322801 hasConcept C162324750 @default.
- W4297322801 hasConcept C162853370 @default.
- W4297322801 hasConcept C166957645 @default.
- W4297322801 hasConcept C175444787 @default.
- W4297322801 hasConcept C180916674 @default.
- W4297322801 hasConcept C201943243 @default.
- W4297322801 hasConcept C205649164 @default.
- W4297322801 hasConcept C2777382242 @default.
- W4297322801 hasConcept C2780821815 @default.
- W4297322801 hasConcept C41008148 @default.
- W4297322801 hasConcept C48824518 @default.
- W4297322801 hasConcept C542102704 @default.
- W4297322801 hasConcept C549605437 @default.
- W4297322801 hasConcept C55527203 @default.
- W4297322801 hasConceptScore W4297322801C106159729 @default.
- W4297322801 hasConceptScore W4297322801C118518473 @default.
- W4297322801 hasConceptScore W4297322801C136764020 @default.
- W4297322801 hasConceptScore W4297322801C144133560 @default.
- W4297322801 hasConceptScore W4297322801C15744967 @default.
- W4297322801 hasConceptScore W4297322801C162324750 @default.
- W4297322801 hasConceptScore W4297322801C162853370 @default.
- W4297322801 hasConceptScore W4297322801C166957645 @default.
- W4297322801 hasConceptScore W4297322801C175444787 @default.
- W4297322801 hasConceptScore W4297322801C180916674 @default.
- W4297322801 hasConceptScore W4297322801C201943243 @default.
- W4297322801 hasConceptScore W4297322801C205649164 @default.
- W4297322801 hasConceptScore W4297322801C2777382242 @default.
- W4297322801 hasConceptScore W4297322801C2780821815 @default.
- W4297322801 hasConceptScore W4297322801C41008148 @default.