Half a Century of Global Agricultural Commodity Connectedness Under Geopolitical Risk: The Role of Threats and Acts (1975–2026)

Using a dataset covering January 1975 to March 2026 and six agricultural commodities, wheat, corn, soybeans, oats, sugar, and coffee, this paper explores the role of geopolitical risk (acts and threats) in shaping cross-market connectedness. It proposes a multilayer methodology based on the time-varying parameter vector autoregressive (TVP-VAR), the exponential GARCH with exogenous variables (EGARCH-X), and the wavelet quantile correlation (WQC) frameworks. This methodology captures cross-market volatility spillovers, assesses the effects of geopolitical risk and its components on the strength and instability of connectedness, and incorporates nonlinearity and asymmetry across investment horizons and market conditions. The results show a time-varying pattern in agricultural cross-market connectedness. Corn and soybeans transmit volatility shocks, while the other commodities are net receivers. These commodities have a central position in the connectivity network, whereas sugar and coffee are in the peripheral zone. The EGARCH-X results show that geopolitical acts and threats do not significantly alter the overall level of connectedness but intensify its volatility, suggesting that geopolitical tensions primarily influence stability rather than the intensity of connectedness. Economic policy uncertainty and oil price volatility have similar effects. In line with these results, the WQC analysis uncovers significant nonlinearity and state-dependent linkages, underscoring that the effect of geopolitical acts and threats becomes prominent over medium- and long-term horizons and during periods of market stress. These findings contribute to the literature by differentiating the effects of geopolitical incidents on agricultural market connectedness versus volatility. From an operational standpoint, these results imply that policymakers and market operators should enhance their risk-monitoring and hedging strategies during periods of high geopolitical stress, as such events can amplify instability across agricultural commodity markets.