Tail risk market spillovers of oil to agricultural commodities: A time-frequency quantile approach

Tail risk market spillovers of oil to agricultural commodities: A time-frequency quantile approach | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article Tail risk market spillovers of oil to agricultural commodities: A time-frequency quantile approach Hammed Abiola Olayinka, Naveed Khan, Oluwaseun A. Adesina, OlaOluwa S. Yaya This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-5743343/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract The interplay between commodities and oil prices provides a trade-off for investors and consumers. However, the increasing interconnectedness between these two series helps investors to design efficient investment strategies. Therefore, in this paper, the risk spillovers from oil market prices to that of agricultural commodities, namely, corn, wheat, soybeans, sugar, cotton, cocoa, coffee, lean hogs, and live cattle for the period spanning from May 1987 to December 2023 was investigated. For the analysis, we employ a quantile frequency connectedness approach, our findings reveal that under all market conditions (normal, bearish, and bullish) corn, wheat, and soybean are the return spillovers’ net transmitters, but sugar is a consistent net shocks receiver across all frequencies. Furthermore, agricultural commodities receive oil shocks from WTI during normal market conditions. At lower market conditions, the connectedness between commodities and oil is weaker than that of extreme market conditions (higher quantiles). Moreover, the network plots show that short-run connectedness dominates the long-run connectedness at price returns extremes. Similarly, our finding reports significant implications for policymakers, portfolio managers, and investors to diversify their investments in different market conditions. JEL codes: C22 F21 G11 G13 G32 Agricultural commodities Crude oil Quantile vector autoregression Time-frequency connectedness Network analysis Full Text Additional Declarations The authors declare no competing interests. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-5743343","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":396263009,"identity":"55c560c4-d400-45d5-8a98-03259c8125f7","order_by":0,"name":"Hammed Abiola Olayinka","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAAA2ElEQVRIiWNgGAWjYBACAwYGxgMMDBJAyHwAzGU4QFgLA1QLWwJJWkCaeAwgQoS0mLMfPnDgZ5tFnmT7mW/SBQUMcnw3EvBrsexJSzjY2yZRLM2Tu016hgGDsSQhLQYHcgwO8LZJJM5jyN12G+i2xA0EtZx/Y3DwL0gL/5tnIC31hLXcyDE4DLJltkQOG0hLggFhLc8SDsuck0icOeOZ+e8ZBhKGM888IOSw5IMP35TVJc44n/zYuOCPjTzfcQK2gAEjG4RmBkUPkeAPXMsoGAWjYBSMAkwAAG/zSmuMzvNjAAAAAElFTkSuQmCC","orcid":"https://orcid.org/0000-0002-9796-5276","institution":"Worcester Polytechnic Institute","correspondingAuthor":true,"prefix":"","firstName":"Hammed","middleName":"Abiola","lastName":"Olayinka","suffix":""},{"id":396263010,"identity":"9e844386-2f8e-4fc9-b25d-cb451281768d","order_by":1,"name":"Naveed Khan","email":"","orcid":"https://orcid.org/0000-0002-4729-040X","institution":"International Islamic University, Islamabad Pakistan","correspondingAuthor":false,"prefix":"","firstName":"Naveed","middleName":"","lastName":"Khan","suffix":""},{"id":396263011,"identity":"6df9a397-1ef6-4088-be67-6c2f8e70c0f3","order_by":2,"name":"Oluwaseun A. 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