Quantile Connectedness and Tail Risks: Interactions between Agricultural and Energy Markets

This study examines the return spillovers and tail-risk dynamics between energy and agricultural commodity markets using a quantile vector autoregression (QVAR) model. We investigate connectedness in the futures contract returns of ten commodities, including energy products (crude oil, heating oil, gasoline, natural gas) and agricultural products (corn, soybeans, wheat, live cattle, lean hogs, cotton), across different market conditions. Our findings indicate that return spillovers intensify significantly in the tails of the return distribution compared to the median, with total connectedness approximately doubling in these tail regions. Energy commodities, particularly crude oil and heating oil, act as net transmitters across most quantiles, while agricultural commodities generally function as net receivers. Corn is an exception, consistently acting as a net transmitter across the entire conditional return distribution. These findings have important implications for investors in risk management and portfolio diversification, as well as for policymakers aiming to manage commodity price risk.

Name thesis:degree_name

Master of Science

Level thesis:degree_level

masters

Discipline thesis:degree_discipline

Agricultural and Applied Economics

Department dc:contributor.department

Agricultural and Applied Economics

Grantor dc:publisher

Virginia Tech

Year dc:date.issued

2026

Author dc:creator

• Albores, Isaac Gabriel

Chairs dc:contributor.committeechair

• Stewart, Shamar L.
• Isengildina Massa, Olga

Committee member dc:contributor.committeemember

• Ortez Amador, Mario Amado

• Return Spillover
• Agriculture
• Energy
• Tail Risk
• Quantile Connectedness

Statement dc:rights

• In Copyright

Licence dc:rights.uri

• http://rightsstatements.org/vocab/InC/1.0/

Language dc:language.iso

en

Dc Identifier Other

vt_gsexam:45486

OAI identifier oai:identifier

oai:vtechworks.lib.vt.edu:10919/140930