Time-varying relationship between geopolitical uncertainty and agricultural investment

被引：5
|
作者：
Jana, Rabin K. [1 ]
Ghosh, Indranil [2 ]
机构：
[1] Indian Inst Management Raipur, Operat & Quantitat Methods Area, Atal Nagar 493661, CG, India
[2] Inst Management Technol Hyderabad, IT & Analyt Area, Hyderabad 501218, Telangana, India
来源：
FINANCE RESEARCH LETTERS | 2023年 / 52卷
关键词：
Geopolitical uncertainty; Agricultural investment; Wavelet coherence; Wavelet causality;
D O I：
10.1016/j.frl.2022.103521
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper explores the relationship between Geopolitical Uncertainty (GPU) and agricultural investment. We apply wavelet-based techniques to capture the relationship at different time dimensions and explore the causal structure between the GPU and select indices from the agricultural market of the USA. We find that the GPU influences investment in agricultural spot markets in the medium run. The futures market investment is less susceptible to GPU than the spot counterparts. A clear shift in interplay is visible during the COVID-19 pandemic and the ongoing Russia-Ukraine conflict. The results can offer diversification benefits and mitigate risk in distress and volatile periods.
引用
收藏
页数：7
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