Food, Harvesting and Interest Rate Nexus : Quantile Investigation About Dependencies and Spillover

The global food security issue becomes intense during stressed periods; interestingly, literature indicates about a possible nexus between harvesting & interest rates. To investigate this further, we have studied food, harvesting and interest rate nexus in this study. Following FAO database from the United Nations we have considered Cereal price, Vegetable Oil price, Dairy price, Meat price, Sugar price. Even harvesting was calculated based on FAO estimates. US interest rates are chosen as a proxy for interest rates. We have considered data with monthly frequency (log-differenced) from 1st January 2000 to 1st February 2023 for all our variables. Fed Rate, Meat, Harvest and Sugar are found to be the net-receivers of shocks across both the extreme quantiles (Q0.9 & Q0.1). On the other hand, Oils, Cereals and Dairy are found to be net-emitters across both the extreme quantiles (Q0.9 & Q0.1). Further, Oils and Cereals are reciprocators across all quantiles. Connectedness/spillover is much higher around Q0.1, compared to Q0.9 indicating the higher intensity and duration of the negative shocks over positive shocks during this time period. Connectedness is much lower at Q0.5 indicating absence of shocks