From oil fields to crop yields: assessing responsiveness of India’s agricultural commodities to global oil price fluctuations amid global pandemic

Purpose Over the past few decades, India’s agricultural production system has transformed as a result of the country’s embrace of green revolution technologies and its price support strategy. In this context, this study aims to examine the co-movement and volatility spillover between crude oil and agricultural commodities in India, considering the recent COVID-19 pandemic. Design/methodology/approach To achieve this, the authors use daily data on oil prices and six agricultural commodity futures: castor seed, cotton seed, mustard seed, soybean seed, guar seed and chana seed, spanning from 1 January 2018 to 31 December 2021. The authors used wavelet coherence analysis and the time-varying parameter vector autoregression approach to analyse the dynamics of the oil-agricultural nexus. Findings The study’s finding indicates a neutral response of Indian agricultural commodities in terms of return and volatility toward crude oil, even during the crisis period. Furthermore, in comparison to other commodities, soybean seed responds quite well to oil. Practical implications The findings indicate that India’s agricultural markets exhibit considerable resilience to fluctuations in oil prices, likely attributable to domestic policy safeguards such as minimum support prices and input subsidies. This emphasises the importance of sustaining such policy measures to guarantee market stability amid global crises. The significant sensitivity of soybean seed to oil prices underscores the necessity for commodity-specific management. Originality/value To the best of the authors’ knowledge, this is the first empirical work to examine the relation between oil and major agricultural commodities, which are part of the NKrishi index in India, while incorporating the significant impact of the COVID-19 crisis and using advanced methodologies.