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2024 | OriginalPaper | Chapter

An Analysis of Volatility Spillover Effect Between Energy and Agricultural Markets

Authors : Pachraporn Arkornsakul, Tanapol Rattanasamakarn, Konnika Palason

Published in: Applications of Optimal Transport to Economics and Related Topics

Publisher: Springer Nature Switzerland

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Abstract

In this investigation spanning the period from 2019 to 2023, we delve into the dynamic relationship between the energy and agriculture markets, placing a specific emphasis on the disruptive energy price crisis emanating from the Ukraine war. The article conducts a thorough analysis of volatility spillovers between these two crucial sectors, elucidating directional volatility transmission and pinpointing key sectors that serve as primary contributors to volatility shocks. Notably, the Total Spillover Index (TSI), a pivotal metric in this context, consistently records at approximately 13% throughout the study period, indicating noteworthy spillover effects and a robust inter-sector connectedness. This study not only brings to light intricate patterns of spillover effects but also provides valuable insights into their implications for financial stability.

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Metadata
Title
An Analysis of Volatility Spillover Effect Between Energy and Agricultural Markets
Authors
Pachraporn Arkornsakul
Tanapol Rattanasamakarn
Konnika Palason
Copyright Year
2024
Book
Applications of Optimal Transport to Economics and Related Topics

Print ISBN: 978-3-031-67769-4

Electronic ISBN: 978-3-031-67770-0

Copyright Year: 2024

DOI
https://doi.org/10.1007/978-3-031-67770-0_44

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