Modelling the return and volatility spillovers of crude oil and food prices in Nigeria

This paper measures the return and volatility spillovers of crude oil and food prices in Nigeria using the Diebold and Yilmaz (2012) approach. It utilizes the monthly data of food prices and crude oil from January 01 1997 to June 30, 2017. This study also carries out rolling sample analyses to capture secular and cyclical movements in oil and food markets. The paper finds evidence of interdependence among crude oil and food prices based on the spillover indexes. In addition, the returns spillover exhibits trend but no burst while the volatility spillover exhibits both trend and burst over the period under consideration. By understanding the mechanisms behind these dynamics, better policy measures could be put in place to optimize and stabilize the markets. Finally, the results are robust to the VAR lag structure and rolling window width. (C) 2018 Elsevier Ltd. All rights reserved.