In this paper, we examine the contemporaneous and lagged spillovers among the agricultural, crude oil, carbon emission allowance, and climate change markets. Adopting the R2 decomposed connectedness approach, our empirical analysis reveals several key findings. First, the overall total connectedness index (TCI) dynamics have been mainly dominated by contemporaneous effects. Second, there are heterogeneous spillover effects among agricultural markets. Specially, corn, soybean meal, and wheat are the major risk transmitters to this system, while barley, cocoa, and lean hog are the main risk receivers of shocks. Third, we also find that climate change has significant spillovers to other markets.

中文翻译：

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农业、原油、碳排放配额和气候变化之间的同期和滞后溢出效应


在本文中，我们研究了农业、原油、碳排放配额和气候变化市场之间的同期和滞后溢出效应。采用 R2 分解连通性方法，我们的实证分析揭示了几个关键发现。首先，总体总连通性指数 （TCI） 动态主要由同期效应主导。其次，农产品市场之间存在异质性溢出效应。特别是，玉米、豆粕和小麦是该系统的主要风险传递者，而大麦、可可和瘦猪是冲击的主要风险接收者。第三，我们还发现气候变化对其他市场有重大溢出效应。