@misc{Just_Małgorzata_Price_2023,
 author={Just, Małgorzata and Echaust, Krzysztof},
 volume={2023},
 number={2 (199)},
 address={Warszawa},
 journal={Village & Agriculture},
 howpublished={online},
 year={2023},
 publisher={Instytut Rozwoju Wsi i Rolnictwa Polskiej Akademii Nauk},
 language={pl},
 abstract={The study aims to assess the price volatility connectedness across agricultural and energy futures markets, and in particular, to identify the markets that are the main sources of price volatility among the markets considered. We analysed volatility spillovers among wheat, maize, rapeseed, Brent oil and natural gas on the Euronext and ICE exchange in the period from January 2017 to January 2023. We used the spillover index of Diebold and Yilmaz based on a generalised forecast error variance decomposition and its frequency extension of Barunik and Křehlík. The period from the outbreak of the COVID-19 pandemic to 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 strong as in 2017–2019, and three times stronger than during the Russia–Ukraine war. The main source of market shocks during the spread of the SARS-CoV-2 virus was the rapeseed market, 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 implement risk management procedures to mitigate the impact of shocks from one market to another.},
 title={Price Volatility Spillovers among Agricultural and Energy Commodity Markets: The Perspective of European Markets During the COVID-19 Pandemic and the Russia-Ukraine War},
 type={Text},
 URL={http://rcin.org.pl/Content/241225/wir_2023_2_199_041_066.pdf},
 keywords={price volatility, volatility spillovers, agricultural commodities, energy commodities},
}