APPLIED ENERGY, vol.357, no.1, pp.1-12, 2024 (SCI-Expanded)
Amidst the current global inflationary challenges, the concurrent rise of energy and agricultural commodity
prices, which constitute the primary components of consumer prices, has emerged as a matter of significant
interest among both scholars and policymakers. To this end, this study examines the dynamic interlinkages
between food and energy commodity indexes from 2005:1 to 2023:3, covering turmoil episodes such as the
Global Financial Crisis (GFC), the COVID-19 pandemic, and the Russia-Ukraine Conflict (RUC). Additionally,
following Broadstock et al. (2022), we perform dynamic portfolio analyses to determine portfolio performances
under 3 different portfolio construction approaches. The empirical results presented in this paper allow for a
number of important findings. First, both the time and frequency-domain connectedness indexes associate with
major financial/geopolitical stress events. Second, the fuel energy and the crude oil price indexes are the largest
propagators and recipients of spillovers Third, the cumulative portfolio returns exhibit significant growth during
the early phase of the COVID-19, declining during the RUC, and a notable upswing during the GFC. Finally, our
findings for frequency-dependent connectedness networks indicate that the market is particularly susceptible to
short-term shocks. This paper has significant ramifications for investors, market players, and policymakers.