This study explores spillover effects between oil and grain markets in response to supply- and demand-side shocks using the TVP-VAR-DY approach. Spillover effects among markets are enhanced under both demand and supply shocks. Wheat consistently acts as the transmitter of shocks for both types of events. Furthermore, corn is transmitter of spillovers to other markets. In contrast, soybeans receive spillovers during supply-side shocks and transmit them during demand-side shocks. Oil initially transmits shocks to other markets during demand-side events, but transitions to a receiver role as demand diminishes and supply-side crises emerge. Measures should be taken to reduce market risks when major events occur.

中文翻译：

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衡量原油和谷物商品市场之间的动态溢出：需求和供给冲击的比较分析


本研究使用 TVP-VAR-DY 方法探讨了石油和粮食市场之间针对供需方冲击的溢出效应。在需求和供给冲击下，市场之间的溢出效应都会增强。小麦始终充当这两类事件的冲击传播者。此外，玉米还会向其他市场产生溢出效应。相比之下，大豆在供应方冲击期间受到溢出效应，并在需求方冲击期间传递溢出效应。石油最初在需求方事件期间向其他市场传递冲击，但随着需求减少和供应方危机出现，石油转变为接收者角色。重大事件发生时，应采取措施降低市场风险。