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AbstractThis paper aims to investigate the cross‐interdependence between crude oil and agricultural commodity prices. We apply a test of persistence in order to verify whether crude oil prices' effect on the agricultural commodity markets is immediate or delayed. Using the daily data covering the period 2003–2017, results show that the delayed effect of crude oil prices on the agricultural commodity prices is lower than the immediate effect. Furthermore, the dependence is strongly persistent and more affected by the food crisis than the oil crisis. Additionally, a contagion effect is detected during the food crisis for almost agricultural commodity markets, while during the oil crisis, it is verified only for the soybean and wheat markets. The study is designed to determine a reliable framework for returns and volatility forecasting in commodity markets based on the oil market changes.

This paper examines the hedge and safe-haven abilities of Bitcoin against U.S. aggregate and categorical economic policy uncertainty (EPU) via the application of quantile regression model augmented with a dummy and some control variables. Using monthly data from September 2011 to December 2019, empirical results indicate that Bitcoin does not act as a strong hedge against the aggregate U.S. EPU. However, it acts as a strong safe-haven for this aggregate measure of uncertainty when the Bitcoin market is bearish. Looking deeper into the disaggregated level of the U.S. EPU data, the analyses involving categorical EPU data indicate the ability of Bitcoin to act as a strong hedge and safe-haven against specific uncertainties related to fiscal policy, taxes, national security, and trade policy.