Risk spillovers between crude oil and agricultural commodities in India: Insights from two major global disruptions

Abstract This study examines the dynamics of the integration of and risk transmission between India’s crude oil price index and nine agricultural commodity spot prices. The study uses daily price volatility data from June 2015 to December 2023 and a time-varying parameter vector autoregressive framework to investigate short-term and long-term connectedness dynamics. The results show a strong relationship between crude oil and agricultural commodity prices in India. Soybean oil is a significant transmitter within the network, and crude oil emerges as a primary net recipient. The average total connectedness index (TCI) value was about 36 per cent, with 27 per cent in the short term and 8.9 per cent in the long term. The average TCI value during the Coronavirus disease (COVID-19) period was 32.6 per cent, and that during the Russia–Ukraine war period was 24.3 per cent, with volatility spillovers in the network occurring primarily in the short term. Dynamic variations in connectedness over time highlight the impact of specific events, such as the COVID-19 pandemic and the Russia–Ukraine war. This study identifies the net transmitters and net receivers of volatility shocks within a network, providing insights that can help with portfolio diversification and strategic decision-making.