Conectividade dinâmica de retornos entre commodities agropecuárias e petróleo WTI: Aplicação dos modelos VAR e TVP-VAR no período de 2013 a 2022

Alexandra de Moraes; Paulo Sergio Ceretta

doi:10.17765/2176-9168.2026v19.e14268

Authors

Alexandra de Moraes Universidade Federal Rural de Pernambuco https://orcid.org/0000-0002-5408-5658
Paulo Sergio Ceretta Universidade Federal de Santa Maria https://orcid.org/0000-0001-8264-0439

DOI:

https://doi.org/10.17765/2176-9168.2026v19.e14268

Keywords:

Time Series Analysis, Dynamic Connectivity, Return, Agricultural Commodities, WTI Oil

Abstract

This article investigates the dynamic return connectedness between agricultural markets and the West Texas Intermediate (WTI) oil market. The VAR and TVP-VAR models were employed, following Ready (2018) and Antonakakis and Gabauer (2017). The results show that fluctuations in oil prices significantly affect the returns of agricultural commodities. It was observed that these dynamic connections vary across the analyzed markets. Wheat, corn, and soybeans exhibit high levels of connectedness with oil price shocks, while other agricultural and livestock commodities present lower levels of connectedness.

Author Biographies

Alexandra de Moraes, Universidade Federal Rural de Pernambuco

Doutoranda na Universidade Federal de Lavras

Paulo Sergio Ceretta , Universidade Federal de Santa Maria

Professor da Universidade Federal de Santa Maria

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