Agric. Econ. - Czech, 2026, 72(9):559-570 | DOI: 10.17221/319/2025-AGRICECON

Agricultural commodity markets during the COVID-19 pandemic and the energy crisis: A time-varying copula approachOriginal Paper

Peter Árendáš ORCID..., Barbara Čeryová ORCID..., Jana Kotlebová ORCID...
Department of Banking and International Finance, Faculty of Economics and Finance, Bratislava University of Economics and Business, Bratislava, Slovakia

Agricultural commodity markets are highly important not only for investors but also for consumers. Given their importance, closer attention should be paid to agricultural commodity prices and their interactions with other segments of the financial market. In this paper, we apply time-varying copula analysis to investigate the development of the dependence structure between three main groups of agricultural commodities (Bloomberg Grains TR Index, Bloomberg Softs TR Index, and Bloomberg Livestock TR Index) and other segments of the financial market (Brent crude oil, the US Dollar Index, and the broader stock market represented by the S&P 500 stock market index). We use daily data from 2017 to 2024, covering the relatively calm pre-COVID-19 period and the turbulent COVID-19 and subsequent energy crisis periods. The results show that, despite increases in both overall and lower-tail dependence during the pandemic, the relationships remained relatively weak even at their peak. This indicates that the ability of agricultural commodities to provide risk diversification remained intact, even during the two extreme global events. However, the observed time variation indicates that hedging strategies should include dynamic risk monitoring and stress testing.

Keywords: grains, softs, livestock, stock markets, dollar index, risk spillovers

Received: July 30, 2025; Revised: May 11, 2026; Accepted: May 12, 2026; Prepublished online: September 18, 2026; Published: September 30, 2026  Show citation

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Árendáš P, Čeryová B, Kotlebová J. Agricultural commodity markets during the COVID-19 pandemic and the energy crisis: A time-varying copula approach. Agricultural Economics. 2026;72(9):559-570. doi: 10.17221/319/2025-AGRICECON.
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