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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Bibliographic Details
Published in:PloS one Vol. 18; no. 12; p. e0295294
Main Author: Su, Jung-Bin
Format: Journal Article
Language:English
Published: United States Public Library of Science 06.12.2023
Public Library of Science (PLoS)
Subjects:
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
Online Access:Get full text
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Summary: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.
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ISSN:1932-6203
1932-6203
DOI:10.1371/journal.pone.0295294