eprintid: 18671
rev_number: 2
eprint_status: archive
userid: 1
dir: disk0/00/01/86/71
datestamp: 2024-06-04 14:11:02
lastmod: 2024-06-04 14:11:02
status_changed: 2024-06-04 14:03:50
type: article
metadata_visibility: show
creators_name: Cheng, N.F.L.
creators_name: Hasanov, A.S.
creators_name: Poon, W.C.
creators_name: Bouri, E.
title: The US-China trade war and the volatility linkages between energy and agricultural commodities
ispublished: pub
keywords: Agriculture; Commerce; Crude oil; Decision making; Financial markets; Impulse response; Investments; Supply chains, Agricultural commodities; Covariance; Exogenous chock; Garch modelling; Impulse response functions; Multivariate GARCH; Multivariate GARCH model; US-china trade; Volatility impulse response function; Volatility spillovers, COVID-19, agroindustry; coffee; cotton; COVID-19; crude oil; financial crisis; trade; trade relations, China; United States
note: cited By 11
abstract: Any disruptive changes in the competitive environment, such as the U.S.-China trade war, may influence the price volatility of crude oil and agricultural commodities. This study examines the volatility linkage between crude oil and agricultural commodity markets in the context of the U.S.-China trade war and compares the impact of the trade war with that of other exogenous shocks. The results show that the volatility of soybeans exhibits the highest level of responsiveness to the U.S.-China trade war - which is not surprising given that the U.S. agribusiness trade to China is dominated by soybeans - followed by coffee and cotton. The sizes and dynamics of the impacts of shocks are largely commodity-specific. Notably, the trade war impacts most agricultural commodities more extensively than other exogenous shocks, including the global financial crisis and the COVID-19 pandemic and associated recession. These findings matter not only for the decision-making of investors and portfolio managers but also for commodity-exporting and importing countries because changes in the volatility dynamics of crude oil and agricultural commodities often impact export revenues and import expenditures and consequently feed through exports to the global supply chain under exogenous shocks such as the U.S.-China trade war. © 2023 The Authors
date: 2023
official_url: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85150073504&doi=10.1016%2fj.eneco.2023.106605&partnerID=40&md5=6838f71d0072d8875bafa28c7da7a7a5
id_number: 10.1016/j.eneco.2023.106605
full_text_status: none
publication: Energy Economics
volume: 120
refereed: TRUE
citation:   Cheng, N.F.L. and Hasanov, A.S. and Poon, W.C. and Bouri, E.  (2023) The US-China trade war and the volatility linkages between energy and agricultural commodities.  Energy Economics, 120.