Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach

We examine the energy-food nexus using dependence-switching copula model. Specifically, we look at dependence for four distinct market states, such as, increasing oil–increasing commodity, declining oil–declining as well commodity markets. Our results support argument that crash of oil markets and agricultural commodities happen same time, especially during crisis period. However, is not true times normal economic conditions, implying investors cannot make excess profits in both once. Furthermore, our analysis suggests return chasing effect dominates all on maximum occasions. The CoVaR ΔCoVaR indicate important risk spillover from to markets, around financial crisis.