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Exploring the effect of climate risk on agricultural and food stock prices: Fresh evidence from EMD-Based variable-lag transfer entropy analysis

Zouhaier Dhifaoui, Rabeh Khalfaoui, Sami Ben Jabeur Orcid Logo, Mohammad Abedin Orcid Logo

Journal of Environmental Management, Volume: 326, Start page: 116789

Swansea University Author: Mohammad Abedin Orcid Logo

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DOI (Published version): 10.1016/j.jenvman.2022.116789

Abstract

Climate has traditionally played an important role in the development of countries, owing to its inherent relationship with agricultural output and pricing. This study explores one such association between the most well-known climate anomaly, the El Niño34 Southern Oscillation, and international com...

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Published in: Journal of Environmental Management
ISSN: 0301-4797
Published: Elsevier BV 2023
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URI: https://cronfa.swan.ac.uk/Record/cronfa64226
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spelling 2023-09-20T15:45:31.9483629 v2 64226 2023-08-31 Exploring the effect of climate risk on agricultural and food stock prices: Fresh evidence from EMD-Based variable-lag transfer entropy analysis 4ed8c020eae0c9bec4f5d9495d86d415 0000-0002-4688-0619 Mohammad Abedin Mohammad Abedin true false 2023-08-31 CBAE Climate has traditionally played an important role in the development of countries, owing to its inherent relationship with agricultural output and pricing. This study explores one such association between the most well-known climate anomaly, the El Niño34 Southern Oscillation, and international commodity prices of agriculture and food indexes. This study addresses the potentially causal effect of El Niño34 on international agricultural and food stock prices. To do so, we develop a novel approach: the empirical mode decomposition variable-lag transfer entropy (EMD-VL transfer entropy) by combining the variable-lag transfer entropy framework and the empirical mode decomposition. The evidence reveals the following major results. First, climate shocks affect global agricultural stock prices in the short-term. Second, significant transfer entropy from El Niño34 to food index appeared at mid- and long-term business cycles. Third, unidirectional causal effect from climate shocks to agricultural and food stock prices is more intense in the short business cycle attesting to the impact of climate shocks on the food market, which is especially visible in the short-term horizon. Finally, our proposed method exceeds the traditional variable-lag transfer entropy by detecting such causal interplay at various business cycles, which is useful for investors and policymakers. Journal Article Journal of Environmental Management 326 116789 Elsevier BV 0301-4797 Variable lag transfer entropy, Empirical mode decomposition, El Niño34, Food index, Agricultural index 15 1 2023 2023-01-15 10.1016/j.jenvman.2022.116789 http://dx.doi.org/10.1016/j.jenvman.2022.116789 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University 2023-09-20T15:45:31.9483629 2023-08-31T17:28:17.8801849 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Zouhaier Dhifaoui 1 Rabeh Khalfaoui 2 Sami Ben Jabeur 0000-0002-9242-4913 3 Mohammad Abedin 0000-0002-4688-0619 4 64226__28597__13b4044cc36641f385b50e0f181e5194.pdf 64226.VOR.pdf 2023-09-20T15:43:58.2226166 Output 891816 application/pdf Version of Record true © 2022 The Author(s). Published by Elsevier Ltd. Distributed under the terms of a Creative Commons Attribution 4.0 License (CC BY 4.0). true eng https://creativecommons.org/licenses/by/4.0/
title Exploring the effect of climate risk on agricultural and food stock prices: Fresh evidence from EMD-Based variable-lag transfer entropy analysis
spellingShingle Exploring the effect of climate risk on agricultural and food stock prices: Fresh evidence from EMD-Based variable-lag transfer entropy analysis
Mohammad Abedin
title_short Exploring the effect of climate risk on agricultural and food stock prices: Fresh evidence from EMD-Based variable-lag transfer entropy analysis
title_full Exploring the effect of climate risk on agricultural and food stock prices: Fresh evidence from EMD-Based variable-lag transfer entropy analysis
title_fullStr Exploring the effect of climate risk on agricultural and food stock prices: Fresh evidence from EMD-Based variable-lag transfer entropy analysis
title_full_unstemmed Exploring the effect of climate risk on agricultural and food stock prices: Fresh evidence from EMD-Based variable-lag transfer entropy analysis
title_sort Exploring the effect of climate risk on agricultural and food stock prices: Fresh evidence from EMD-Based variable-lag transfer entropy analysis
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author Mohammad Abedin
author2 Zouhaier Dhifaoui
Rabeh Khalfaoui
Sami Ben Jabeur
Mohammad Abedin
format Journal article
container_title Journal of Environmental Management
container_volume 326
container_start_page 116789
publishDate 2023
institution Swansea University
issn 0301-4797
doi_str_mv 10.1016/j.jenvman.2022.116789
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url http://dx.doi.org/10.1016/j.jenvman.2022.116789
document_store_str 1
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description Climate has traditionally played an important role in the development of countries, owing to its inherent relationship with agricultural output and pricing. This study explores one such association between the most well-known climate anomaly, the El Niño34 Southern Oscillation, and international commodity prices of agriculture and food indexes. This study addresses the potentially causal effect of El Niño34 on international agricultural and food stock prices. To do so, we develop a novel approach: the empirical mode decomposition variable-lag transfer entropy (EMD-VL transfer entropy) by combining the variable-lag transfer entropy framework and the empirical mode decomposition. The evidence reveals the following major results. First, climate shocks affect global agricultural stock prices in the short-term. Second, significant transfer entropy from El Niño34 to food index appeared at mid- and long-term business cycles. Third, unidirectional causal effect from climate shocks to agricultural and food stock prices is more intense in the short business cycle attesting to the impact of climate shocks on the food market, which is especially visible in the short-term horizon. Finally, our proposed method exceeds the traditional variable-lag transfer entropy by detecting such causal interplay at various business cycles, which is useful for investors and policymakers.
published_date 2023-01-15T20:24:21Z
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