Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis

This paper employed wavelet coherence and partial to investigate the time-frequency effect of global economic policy uncertainty on comovement five agricultural commodities such as maize, oat, rice, soybean, wheat using monthly data from January 1997 December 2019. In general, we observed heterogeneity in structures market at different scales which are profound high frequencies bivariate coherence. The analysis shows that is a driver commodity connectedness. implies extreme changes have tendency influence price comovement. poses risk stability market, requires policymaker’s intervention protect against spillover contagion uncertain times.