Table 2a.
Average Dynamic Connectedness (using QVAR having 0.1 Quantile).
| Cocoa | Coffee | Tea | Coconut oil | Groundnut oil | Palm oil | Soybeans | Maize | Rice | Wheat | Orange | Beef | Chicken | Sugar | FROM | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Cocoa | 22 | 6.66 | 6.96 | 6.13 | 5.66 | 7.14 | 7.1 | 6.21 | 3.82 | 5.96 | 5.01 | 6.63 | 5.81 | 4.93 | 78 |
| Coffee | 7.43 | 21.33 | 6.82 | 6.49 | 5.7 | 7.25 | 7.43 | 7.16 | 3.06 | 6.92 | 4.45 | 6.19 | 4.7 | 5.07 | 78.67 |
| Tea | 6.2 | 7.17 | 19.83 | 7.24 | 5.31 | 8.16 | 7.09 | 7.15 | 4.34 | 4.78 | 6.32 | 5.42 | 6.47 | 4.52 | 80.17 |
| Coconut oil | 6.55 | 4.91 | 5.66 | 16.39 | 6.05 | 10.74 | 7.48 | 7.57 | 5.09 | 7.75 | 5.27 | 6.67 | 5.61 | 4.26 | 83.61 |
| Groundnut oil | 6.51 | 5.35 | 5.78 | 7.59 | 15.92 | 9.41 | 7.49 | 6.62 | 4.33 | 7.08 | 5.31 | 6.01 | 6.23 | 6.37 | 84.08 |
| Palm Oil | 6.65 | 5.59 | 5.51 | 10.17 | 7.06 | 15.8 | 8.64 | 7.03 | 4.63 | 7.76 | 4.75 | 6 | 5.23 | 5.18 | 84.2 |
| Soybeans | 5.85 | 5.56 | 5.62 | 7.37 | 6.41 | 9.67 | 14.78 | 9.55 | 3.91 | 8.72 | 4.44 | 6.97 | 5.8 | 5.33 | 85.22 |
| Maize | 4.97 | 5.01 | 5.59 | 7.37 | 6.58 | 9.02 | 9.97 | 14.4 | 4.27 | 10.71 | 4.23 | 7.16 | 4.81 | 5.91 | 85.6 |
| Rice | 5 | 5.79 | 6.44 | 6.29 | 6.31 | 7.56 | 5.88 | 7.3 | 17.01 | 6.49 | 7.08 | 7.29 | 5.14 | 6.42 | 82.99 |
| Wheat | 5.24 | 4.92 | 4.34 | 6.7 | 5.3 | 8.65 | 8.62 | 9.71 | 5.5 | 17.99 | 5.31 | 6.84 | 5.11 | 5.77 | 82.01 |
| Orange | 6.61 | 5.23 | 6.42 | 5.39 | 5.32 | 5.65 | 4.99 | 6.29 | 6.17 | 5.39 | 23.17 | 6.76 | 7.41 | 5.19 | 76.83 |
| Beef | 6.09 | 4.97 | 6.76 | 6.21 | 6.28 | 6.96 | 6.79 | 6.62 | 4.96 | 6.21 | 7.4 | 18 | 6.86 | 5.88 | 82 |
| Chicken | 5.82 | 4.58 | 5.17 | 6.17 | 6.54 | 6.45 | 6.85 | 6.77 | 3.83 | 5.23 | 6.47 | 5.82 | 25.24 | 5.04 | 74.76 |
| Sugar | 5.23 | 6.24 | 5.15 | 5.75 | 6.27 | 6.83 | 6.7 | 6.91 | 5.09 | 8.96 | 5.58 | 5.87 | 5.48 | 19.92 | 80.08 |
| To | 78.15 | 71.99 | 76.23 | 88.86 | 78.8 | 103.48 | 95.05 | 94.91 | 59.01 | 91.96 | 71.64 | 83.63 | 74.65 | 69.88 | 1138.22 |
| Inc.Own | 100.15 | 93.33 | 96.06 | 105.25 | 94.71 | 119.28 | 109.83 | 109.3 | 76.02 | 109.94 | 94.81 | 101.63 | 99.89 | 89.79 | TCI = 92% |
| NET | 0.15 | −6.67 | −3.94 | 5.25 | −5.29 | 19.28 | 9.83 | 9.3 | −23.98 | 9.94 | −5.19 | 1.63 | −0.11 | −10.21 | 87.56 |
| NPT | 7 | 4 | 6 | 7 | 5 | 13 | 10 | 9 | 0 | 11 | 3 | 7 | 6 | 3 |
Notes: Each cell denotes the amount of connectedness/spillovers from the commodity recorded in the column to the commodity recorded in the row. The column ‘FROM others’ depicts the spillovers from all other variables to each row variable. The row ‘TO others’ depicts the spillovers from each column variable to all other variables. The row ‘Inc. own’ depicts the spillovers from each column variable to all variables, including itself. The row ‘NET’ captures the net connectedness, where a positive (negative) value shows a shock transmitter (receiver).