ABSTRACT This paper examines the nature of interconnectedness between the returns of the price of oil and foreign exchange on selected agricultural commodity prices. To do this, the authors leverage the novel methodology of a spillover index developed by Diebold and Yilmaz (2012) that reports predictive directional measurement of volatility spillovers. International Journal of Forecasting 28, no. 1: 57–66) that reports: (i) Net spillovers; (ii) Directional spillovers; (iii) Pairwise net spillovers; and (iv) Total spillover indices. This study also captures all secular and cyclical movements with the aid of rolling window analysis to ensure the robustness of the estimations. Empirical analyses are constructed based on monthly realised frequency data from 2006M1 to 2016M7. The empirical analysis from the full sample size shows that rice, sorghum, price inflation, a nominal effective exchange rate and oil price display weak pass-through among the investigated variables while banana, cocoa, groundnut, maize, soybean and wheat are net transmitters of spillover. Based on these revelations, several policy prescriptions for the agricultural commodity markets and their diverse responses to either exchange rate fluctuations or a dwindling oil price are suggested for Nigeria.

中文翻译：

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石油价格和汇率是否解释了农产品市场溢出效应？来自 Diebold 和 Yilmaz 指数的证据

摘要 本文考察了石油价格回报与外汇回报对选定农产品价格之间相互关联的性质。为此，作者利用了 Diebold 和 Yilmaz (2012) 开发的溢出指数的新方法，该方法报告了波动溢出的预测性方向测量。国际预测杂志 28，没有。1: 57–66) 报告：(i) 净溢出；(ii) 定向溢出；(iii) 成对的净溢出；(iv) 总溢出指数。本研究还借助滚动窗口分析捕获所有长期和周期性运动，以确保估计的稳健性。实证分析是基于 2006 M1 至 2016 M7 的月度实现频率数据构建的。全样本量的实证分析表明，水稻、高粱、价格通胀、名义有效汇率和石油价格在所调查的变量之间显示出弱传递，而香蕉、可可、花生、玉米、大豆和小麦是溢出的净传递者。基于这些启示，尼日利亚提出了针对农产品市场的若干政策处方及其对汇率波动或油价下跌的不同反应。