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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/QK1920398" target="_blank" >QK1920398: Dualita v českém zemědělství: výhoda nebo nevýhoda pro zemědělství nové generace?</a><br>

Návaznosti

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

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

Agriculture-BASEL

ISSN

2077-0472

e-ISSN

2077-0472

Svazek periodika

11

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CH - Švýcarská konfederace

Počet stran výsledku

16

Strana od-do

1-16

Kód UT WoS článku

000621991600001

EID výsledku v databázi Scopus

—