Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices.

This paper analyzes the time-frequency spillover effects between food and crude oil markets, two particularly important commodity markets, under the impact of the pandemic. Using the BK frequency domain spillover index and the rolling window method, we explore the spillover effects between the food and crude oil markets under the influence of COVID-19, and compare the changes of spillover effects in each market before and during the pandemic. Based the network connectedness method and the Bayesian structural time series method, we further reveal the changes of the pairwise spillover effects between markets on different time scales. Our study shows that the food-oil market system has the strongest spillover effect in the short term, and the spillovers during the pandemic are significantly weaker than that under the financial crisis. In addition, the pandemic has significantly increased the impact of corn on the crude oil market, but reduced its spillovers on soybeans and rice. Finally, during the COVID-19 period, the wheat market is likely to receive more spillovers from other markets, particularly corn and soybeans. These findings are of great significance for market participants with different horizons to understand the spillover effects of food and oil markets under the impact of the pandemic and to avoid the risk transmission across markets or assets.