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Do oil prices and exchange rates account for agricultural commodity market spillovers? Evidence from the Diebold and Yilmaz Index
(AGRICULTURAL ECON ASSOC SOUTH AFRICA, DEPT AGRICULTURAL ECON, PRIVATE BAG X1, MATIELAND, 7602, SOUTH AFRICA, 2020)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 ...