Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dynamic return and volatility spillovers across internationally traded energy and cereal commodity markets. It also examines the impacts of three types of OPEC news announcements on the volatility spillovers and persistence in these markets. For this purpose, we make use of the VAR-BEKK-GARCH and VAR-DCC-GARCH models for the daily prices of eight major commodities including WTI oil, Europe Brent oil, gasoline, heating oil #2, barley, corn, sorghum, and wheat. Our results provide evidence of significant linkages between the energy and cereal markets. Moreover, the OPEC news announcements are found to exert influence on the oil markets as well as on the oil-cereal relationships. Finally, we show that the persistence of volatility decreases (increases) for the crude oil and heating (gasoline) returns after accounting for the OPEC announcements in these multivariate GARCH models. However, the results are more mixed for the cereal markets. Overall, our results can be used to improve the risk-adjusted performance by having more diversified portfolios and also serve to hedge the oil risk more effectively.
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