The influence of the COVID-19 pandemic on the short- and long-term interactions in the agricultural market: Evidence from a connectedness network approach

This study employs a bivariate GARCH model to examine the influence of the COVID-19 pandemic on the interactions of the commodities in the agricultural market via a connectedness network approach. Empirical results show that this pandemic alters the commodities’ roles—the activators, net transmitter...

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Vydáno v:	PloS one Ročník 18; číslo 12; s. e0295294
Hlavní autor:	Su, Jung-Bin
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	United States Public Library of Science 06.12.2023 Public Library of Science (PLoS)
Témata:	Agricultural commodities Agricultural industry Agricultural production Agriculture Bank technology Barley Bivariate analysis China Commodities Communications equipment Control Coronaviruses Correlation COVID-19 COVID-19 - epidemiology Crude oil Crude oil prices Disease transmission Economic aspects Epidemics Food Forecasts and trends Futures market Humans International finance Investment strategy Investments Iran Management Pandemics Price levels Social distancing Sovereign debt Soybeans Stochastic models Transmitters Volatility China Iran United States > US Ukraine Russia
ISSN:	1932-6203, 1932-6203
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Shrnutí:	This study employs a bivariate GARCH model to examine the influence of the COVID-19 pandemic on the interactions of the commodities in the agricultural market via a connectedness network approach. Empirical results show that this pandemic alters the commodities’ roles—the activators, net transmitters, and net receivers—in the volatility and return connectedness but not for the activators in the correlation connectedness. Moreover, this pandemic enhances the interactive degree of the unidirectional negative return spillovers and the bidirectional distinct-sign volatility spillovers but doesn’t for the interactive degree of correlation. Thus, the COVID-19 pandemic, a short-term drastic event, can influence short-term interactions like volatility and return spillovers but can’t affect one long-term interaction like the correlation. Nevertheless, this pandemic raises the intensity of the correlation as well as volatility and return spillovers. The findings provide policymakers to make short- and long-term investment strategies in the agriculture market.
Bibliografie:	ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 14 content type line 23
ISSN:	1932-6203 1932-6203
DOI:	10.1371/journal.pone.0295294