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The COVID-19 Pandemic and Agricultural Futures in the USA: Evidence From a Dynamic Fourier Quantile Causality Test

The COVID-19 Pandemic and Agricultural Futures in the USA: Evidence From a Dynamic Fourier Quantile Causality Test

Ugur Korkut Pata, Onder Ozgur, Veli Yilanci, Muhammed Sehid Gorus
Copyright: © 2022 |Pages: 26
ISBN13: 9781799896487|ISBN10: 179989648X|ISBN13 Softcover: 9781799896494|EISBN13: 9781799896500
DOI: 10.4018/978-1-7998-9648-7.ch015
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MLA

Pata, Ugur Korkut, et al. "The COVID-19 Pandemic and Agricultural Futures in the USA: Evidence From a Dynamic Fourier Quantile Causality Test." Technological Development and Impact on Economic and Environmental Sustainability, edited by Yilmaz Bayar, et al., IGI Global, 2022, pp. 195-220. https://doi.org/10.4018/978-1-7998-9648-7.ch015

APA

Pata, U. K., Ozgur, O., Yilanci, V., & Gorus, M. S. (2022). The COVID-19 Pandemic and Agricultural Futures in the USA: Evidence From a Dynamic Fourier Quantile Causality Test. In Y. Bayar, M. Sasmaz, & O. Ozturk (Eds.), Technological Development and Impact on Economic and Environmental Sustainability (pp. 195-220). IGI Global. https://doi.org/10.4018/978-1-7998-9648-7.ch015

Chicago

Pata, Ugur Korkut, et al. "The COVID-19 Pandemic and Agricultural Futures in the USA: Evidence From a Dynamic Fourier Quantile Causality Test." In Technological Development and Impact on Economic and Environmental Sustainability, edited by Yilmaz Bayar, Mahmut Unsal Sasmaz, and Omer Faruk Ozturk, 195-220. Hershey, PA: IGI Global, 2022. https://doi.org/10.4018/978-1-7998-9648-7.ch015

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Abstract

This study aims to examine the impact of the COVID-19 pandemic on various agricultural commodity futures (cocoa, coffee, corn, cotton, soybean meal, soybeans, sugar, and wheat) in the United States for the period from January 24, 2020, to July 6, 2021, considering oil prices as a control variable. Specifically, the study employs a novel Fourier quantile causality test and its time-varying form. The results show that the causal relationships between COVID-19 cases and agricultural commodity futures are highly time-varying. The empirical findings also demonstrate that COVID-19 has the strongest causal effect on coffee futures, followed by sugar, soybeans, and corn. In contrast, the impact of COVID-19 on cocoa and cotton futures is relatively limited. The causal effect of COVID-19 on agricultural futures is more pronounced at lower quantiles and in the spring and summer months. In general, COVID-19 has significant predictive power for the six agricultural commodity futures over 100 days in the analysis period, with the exception of cocoa and cotton.

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