Wielechowski, Michał; ORCID: 0000-0002-1335-8971 (Institute of Economics and Finance, Warsaw University of Life Sciences - SGGW)
ARE AGRICULTURAL COMMODITY PRICES AFFECTED BY COVID-19? A STRUCTURAL BREAK IDENTIFICATION
Economic Sciences for Agribusiness and Rural Economy, 2020, vol., nr 4, s. 37-42
Słowa kluczowe
agricultural commodities stock market COVID-19 structural breaks
Streszczenie
The paper aims to identify the COVID-19-driven structural break in agricultural commodity prices time series. We assume the official outbreak of the COVID-19 pandemic, i.e., 11 March 2020, as the breaking point. We use data on the S&P GSCI Agriculture and Livestock Index and the S&P 500 from Refinitiv Datastream. The structural break is identified based on the Chow test. We prove the existence of structural break in both the S&P 500 and the S&P GSCI Agriculture and Livestock Index triggered by the official outbreak of the COVID-19 pandemic. Moreover, to assess the causality between the analysed series, we apply the Granger causality test. We reveal a unidirectional causal relationship from the stock market to the agricultural commodity market.