Heterogeneous dependence between crude oil price volatility and China's agriculture commodity futures: Evidence from quantile-on-quantile regression

This paper investigates volatility dependence between global crude oil and China's agriculture futures by employing a quantile-on-quantile approach. The time-varying parameter stochastic volatility in mean model is used to evaluate the conditional volatility. The empirical results demonstrate the heterogeneous dependence between crude oil volatility and volatility in China's agricultural futures across quantiles. The absolute volatility spillover exhibits an overall increasing trend with higher quantiles of agricultural volatility, and the volatility dependence is asymmetric across violent/stable market situations. Moreover, extremely high or low quantiles of oil volatility exert a considerable influence, while crude oil volatility does not influence the agricultural volatility in the normal mode of the crude oil market. Furthermore, a high persistence is noted in the volatility dynamics, and the impacts of volatility on the returns exhibit substantial time variation. These findings could have important economic implications for portfolio managers and policymakers in different economic and financial circumstances. (C) 2020 Elsevier Ltd. All rights reserved.