Przenoszenie zmienności cen pomiędzy rynkami towarów rolnych i energetycznych – perspektywa rynków europejskich w czasie pandemii COVID-19 i wojny rosyjsko-ukraińskiej
Price Volatility Spillovers among Agricultural and Energy Commodity Markets: The Perspective of European Markets During the COVID-19 Pandemic and the Russia-Ukraine War

Summary/Abstract: The study aims to assess the price volatility connectedness across agriculturaland energy futures markets, and in particular, to identify the markets that are the mainsources of price volatility among the markets considered. We analysed volatility spilloversamong wheat, maize, rapeseed, Brent oil and natural gas on the Euronext and ICE exchangesin the period from January 2017 to January 2023. We used the spillover index of Dieboldand Yilmaz based on a generalised forecast error variance decomposition and its frequencyextension of Barunik and Křehlík. The period from the outbreak of the COVID-19 pandemicto the beginning of 2023 brings an increase in price volatility in the food and energy markets.In the COVID-19 pandemic, the volatility spillover effect among markets was twice as strongas in 2017–2019, and three times stronger than during the Russia–Ukraine war. The mainsource of market shocks during the spread of the SARS-CoV-2 virus was the rapeseedmarket, while during the war in Ukraine this role was taken over by the wheat market.The volatility was not immediately transferred, thus providing an opportunity to implementrisk management procedures to mitigate the impact of shocks from one market to another.

• Details
• Contents