This paper investigates the interrelationship between Brent oil price and exchange rate in 10 emerging markets of East Europe, Asia, Africa, and South America. For computational purpose, we apply two innovative methodologies—wavelet coherence and phase difference that are capable of observing different frequency scales. Wavelet coherence results suggest that strong coherence is present during world financial crisis (WFC) in the oil‐exporting countries and in majority of the oil‐importing countries. Phase arrows as well as phase difference suggest negative coherence between oil and exchange rates in the oil‐importing countries during WFC. Negative coherence is found in these countries because currency depreciation was accompanied by immense oil price drop in WFC period. In addition, phase difference has relatively stable in‐phase dynamics in long term in the oil‐importing countries during tranquil periods, which confirms theoretical stance that higher oil prices cause currency depreciation and vice versa. As for the oil‐exporting countries, we find constant and relatively long‐lasting anti‐phase pattern in Russian and Nigerian cases for long‐term horizons but not for Brazilian one.
The high level of volatility, uncertainty, complexity and ambiguity in business environments lead to the fact that traditional management has been in serious trouble. The required flexibility should provide the agile project management causing a silent revolution of the way projects are organized and executed. Although initially rooted in the software development industry, we can say that agile methodologies are spreading across a broad range of industries. The benefits of applying an agile approach are widely recognized, but there are still various challenges and problems that the organization faces with when adopting an agile practice.
This paper constructs a minimum-variance portfolio of six agricultural futures. We make a full sample analysis as well as a pre-COVID and COVID examination. Using Markowitz portfolio optimisation, we find that soybean futures have the highest share (31%) in the full sample portfolio because it has the lowest variance. Both soybean oil and rice futures have the second highest weight in the full sample portfolio, in an amount of 24%, because soybean oil has the second lowest variance, whereas rice has, by far, the lowest average correlation with other agricultural futures. Soybean oil has the highest share of 35% in the pre-COVID period, whereas rice follows with 27%. On the other hand, in the COVID period, soybean has a very high share in an amount of 47% due to the lowest risk, while rice takes second place with 19%. Based on the results, investors should invest the most in soybean oil and rice in tranquil periods, while the choice should be soybean and rice in crisis periods. Rice is the choice in both sub-periods because rice has a very low correlation with other agricultural commodities, which happens due to the price stabilisation of rice that is often conducted by Asian countries.
The aim of this study is to analyse the determinants of the growing agri-food export in the CEE countries. Using the SYS-GMM estimation, we control for the endogeneity problem. As the explanatory variables we use the variable that have been empirically proven as determinants of the agri-food export and available for observed countries. The obtained results show that the trade liberalisation increases the agri-food exports, while the EU enlargement indirectly affects the agri-food exports which is an important statement for policy-makers.
In this paper, we evaluate the downside risk of six major agricultural commodities – corn, wheat, soybeans, soybean meal, soybean oil and oats. For research purposes, we first use an optimal generalised autoregressive conditional heteroscedasticity (GARCH) model to create residuals, which we later use for measuring downside risks via parametric and semiparametric approaches. Modified value-at-risk (mVaR) and modified conditional value-at-risk (mCVaR) provide more accurate downside risk results than do ordinary value-at-risk (VaR) and conditional value-at-risk (CVaR). We report that soybean oil has the lowest mVaR and mCVaR because it has two very favourable features – skewness around zero and low kurtosis. The second-best commodity is soybeans. The worst-performing downside risk results are in wheat and oats, primarily because of their very high kurtosis values. On the basis of the results, we propose to investors and various agents involved with these agricultural assets that they reduce the risk of loss by combining these assets with other financial or commodity assets that have low risk.
This paper investigates the idiosyncratic volatility spillover effect from the Brent oil futures market to the 11 stock markets of Central and Eastern European economies. As volatility proxies, we use regime‐switching conditional volatilities, obtained from two‐states MS‐GARCH model. In order to determine the level of this effect in different market conditions and in different time‐horizons, we combine wavelet methodology with the quantile regression approach. Our results indicate that the volatility spillover effect is not particularly strong across the countries and the wavelet scales, except in those conditions when stock market volatility is exceptionally high. Also, the wavelet‐based quantile parameters report that the volatility transmission effect gradually subsides with the flow of time, and it applies for the majority of the indices. Romanian BET index experiences the strongest volatility spillover effect from oil in conditions when Romanian stock market is under extreme stress. The reason for this finding probably lies in the facts that Romania is the largest oil and gas producer among all CEECs, and oil and gas markets tend to comove strongly. Based on findings of wavelet quantile parameters and wavelet correlations, we can conclude that hedgers and portfolio managers can build their portfolio strategies, combining Brent oil futures with the CEE indices.
Sažetak: Autori u radu proučavaju uticaj pandemije COVID-19 na međunarodne robne tokove. Po prvi put se u XXI veku susrećemo sa pandemijom virusa koja teži da fundamentalno izmeni način na koji živimo i način na koji poslujemo. Brzo širenje virusa SARS-CoV-2 dovelo je svetske zdravstvene i globalne ekonomske krize, kao i do poremećaja u lancima snabdevanja u međunarodnoj trgovini. Ekonomska kriza će se produbiti tokom daljeg trajanja pandemije, a neće prestati ni sa zvaničnim proglašenjem njenog kraja. Autori u radu daju prikaz kako svetska ekonomska kriza, uzrokovana svetskom zdravstvenom krizom, utiče na lance snabdevanja robom u međunarodnim robnim tokovima. Takođe, biće prikazano koji su to problemi sa kojima se suočavaju svi koji čine karike lanaca snabdevanja i kako je do tih problema došlo. U radu su korišćeni ovlašćeni podaci iz oblasti međunarodne ekonomije na globalnom nivou u vremenskoj seriji od 2020. godine do 2021. godine.
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