Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F21%3A88739" target="_blank" >RIV/60460709:41110/21:88739 - isvavai.cz</a>

Result on the web

<a href="https://www.mdpi.com/2077-0472/11/2/93" target="_blank" >https://www.mdpi.com/2077-0472/11/2/93</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3390/agriculture11020093" target="_blank" >10.3390/agriculture11020093</a>

Result language

angličtina

Original language name

Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?

Original language description

Securitization of the agricultural commodity market has accelerated since the beginning of the 21st century, particularly in the times of financial market uncertainty and crisis. Sugar belongs to the group of important agricultural commodities. The global financial crisis and the COVID19 pandemic has caused a substantial increase in the stock market volatility. Moreover, the novel coronavirus hit both the sugar market s supply and demand side, resulting in sugar stock changes. The paper aims to assess potential structural changes in the relationship between sugar prices and the financial market uncertainty in a crisis time. In more detail, using sequential Bai Perron tests for structural breaks, we check whether the global financial crisis and the COVID19 pandemic have induced structural breaks in that relationship. Sugar prices are represented by the S and P GSCI Sugar Index, while the S and P 500 option implied volatility index (VIX) is used to show stock market uncertainty. To investigate the chan

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50202 - Applied Economics, Econometrics

Project

<a href="/en/project/QK1920398" target="_blank" >QK1920398: Duality in Czech Agriculture: Advantage or Disadvantage for New Generation Agriculture?</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2021

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Agriculture-BASEL

ISSN

2077-0472

e-ISSN

2077-0472

Volume of the periodical

11

Issue of the periodical within the volume

2

Country of publishing house

CH - SWITZERLAND

Number of pages

16

Pages from-to

1-16

UT code for WoS article

000621991600001

EID of the result in the Scopus database

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