Directional volatility spillover between agricultural commodities, oil and financial indices

Abstract

This article used the approach of Diebold and Yilmaz (2012) to investigate the directional volatility spillover between agricultural commodity markets, West Texas Intermediary oil - WTI, S&P 500, REITs, Treasury and ICE based on the FEV/VAR model. along with the spillover index. To analyze the behavior of the volatility variable of price changes over time of commodities and financial indices in a period from 2014 to 2021. The results show evidence of the inexistence of a volatility network connectivity between WTI price variations and agricultural commodities. Volatility spillover index between commodities-WTI and commodity-financial indices evidenced that the interaction between these markets were affected during Covid-19, with positive and negative repercussions. Finally, the results suggest that the shocks between some indices and WTI did not show direct connections with agricultural commodities in short-term periods.