An Analysis of Volatility Spillover Effect Between Energy and Agricultural Markets

In this investigation spanning the period from 2019 to 2023, we delve into the dynamic relationship between the energy and agriculture markets, placing a specific emphasis on the disruptive energy price crisis emanating from the Ukraine war. The article conducts a thorough analysis of volatility spillovers between these two crucial sectors, elucidating directional volatility transmission and pinpointing key sectors that serve as primary contributors to volatility shocks. Notably, the Total Spillover Index (TSI), a pivotal metric in this context, consistently records at approximately 13% throughout the study period, indicating noteworthy spillover effects and a robust inter-sector connectedness. This study not only brings to light intricate patterns of spillover effects but also provides valuable insights into their implications for financial stability.