文献类型：期刊文献

英文题名：Moment connectedness and driving factors in the energy-food nexus: A time-frequency perspective

作者：Dai, Yun-Shi[1,2,3]; Dai, Peng-Fei[4,5]; Goutte, Stéphane[2]; Nguyen, Duc Khuong[3,6]; Zhou, Wei-Xing[1,7,8]

机构：[1] School of Business, East China University of Science and Technology, Shanghai, 200237, China; [2] UMI SOURCE, University Paris-Saclay, UVSQ, IRD, France; [3] De Vinci Research Center, De Vinci Higher Education, Paris, France; [4] School of Management, Wuhan University of Technology, Wuhan, 430070, China; [5] Research Institute of Digital Governance and Management Decision Innovation, Wuhan University of Technology, Wuhan, 430070, China; [6] International School, Vietnam National University, Hanoi, Viet Nam; [7] Research Center for Econophysics, East China University of Science and Technology, Shanghai, 200237, China; [8] School of Mathematics, East China University of Science and Technology, Shanghai, 200237, China

年份：2025

外文期刊名：arXiv

收录：EI(收录号：20250510240)

语种：英文

外文关键词：Chemical contamination - Commerce - Food supply - Higher order statistics - Investments

摘要：With escalating macroeconomic uncertainty, the risk interlinkages between energy and food markets have become increasingly complex, posing serious challenges to global energy and food security. This paper proposes an integrated framework combining the GJRSK model, the time-frequency connectedness analysis, and the random forest method to systematically investigate the multimoment connectedness within the energy-food nexus and explore the key drivers of various spillover effects. The results reveal significant multidimensional risk spillovers with pronounced time variation, heterogeneity, and crisis sensitivity. Return and skewness connectedness are primarily driven by short-term spillovers, kurtosis connectedness is more prominent over the medium term, while volatility connectedness is dominated by long-term dynamics. Notably, crude oil consistently serves as a central transmitter in diverse connectedness networks. Furthermore, the spillover effects are influenced by multiple factors, including macro-financial conditions, oil supply-demand fundamentals, policy uncertainties, and climate-related shocks, with the core drivers of connectedness varying considerably across different moments and timescales. These findings provide valuable insights for the coordinated governance of energy and food markets, the improvement of multilayered risk early-warning systems, and the optimization of investment strategies. Copyright ? 2025, The Authors. All rights reserved.