Time-Varying Connectedness and Causality between Energy and Agriculture Futures Markets in India: Evidence from the Russia-Ukraine War

Abstract

The Russian invasion of Ukraine in February 2022 pressured the prices of essential food and fuel commodities, which were already impacted due to a reduction in crop output because of climatic changes, resulting in high levels of commodity price volatility. A multi-analytical approach is employed to examine the link between energy markets and selected agricultural futures of commodities in India.The empirical results provide insights into the spillover effect of energy markets to agricultural in the Indian economy. During geopolitical instability, agricultural markets exhibit higher interconnectedness with each other and crude oil, however in the long run commodities demonstrates their resilience against transmitted risks from network variables.