Research Article Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis SiawFrimpong , 1 EmmanuelN.Gyamfi , 2 ZanginaIshaq , 1 SamuelKwakuAgyei , 1 Daniel Agyapong , 1 andAnokyeM.Adam 1 1 Department of Finance, School of Business, University of Cape Coast, Cape Coast, Ghana 2 GIMPA Business School, Accra, Ghana Correspondence should be addressed to Anokye M. Adam; aadam@ucc.edu.gh Received 6 August 2020; Revised 10 May 2021; Accepted 26 May 2021; Published 9 June 2021 Academic Editor: François P´ er´ es Copyright©2021SiawFrimpongetal.isisanopenaccessarticledistributedundertheCreativeCommonsAttributionLicense, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. is paper employed wavelet coherence and partial wavelet coherence to investigate the time-frequency effect of global economic policyuncertaintyonthecomovementoffiveagriculturalcommoditiessuchasmaize,oat,rice,soybean,andwheatusingmonthly data from January 1997 to December 2019. In general, we observed heterogeneity in comovement structures of the agricultural commodities market at different time-frequency scales which are profound at high frequencies from the bivariate wavelet coherence. e partial wavelet coherence analysis shows that global economic policy uncertainty is a driver of agricultural commodity market connectedness. is implies that extreme changes in economic policy uncertainty have the tendency to influence commodity price comovement. is poses risk to the stability of the agricultural commodities market, which requires the policymaker’s intervention to protect against the spillover risk contagion effect in uncertain times. 1.Introduction e surge in price and price volatility of agricultural commodities, especially food prices, has attracted the at- tentionofacademics,policymakers,investors,farmers,and consumers to this market because of its immediate impact onfoodsecurityaroundtheworld,particularlylow-income food-deficit countries. e prices of agricultural com- modities have experienced long-term and sharp fluctua- tions since the year 2000. e prices of major agricultural commodities, from 2006, have generally exhibited upward trends with a sharp fluctuation in 2013 and 2014. ese behaviours have attributed to external factors such as macroeconomic uncertainties, agricultural production, fi- nancial crises, large and persistent demand, biofuels de- mand, different stock market phases, and climate warming [1–6]. For example, the outbreak of COVID-19 in 2019 has overturned the stagnation in food prices after its downward trend in 2015-2016. e Food and Agricultural Organisation Food Price Index surged to its highest level since 2014. Moreover, the financialization in commodity markets has changed the dependency structure of agricultural commodity markets [7, 8]. Consequently, the traditional description of commodities in general as an asset class that reliably delivers returns with low correlation to the stock market has changed [9–13]. It instructive to note that ag- ricultural commodity financialization has increased the comovement and volatility spillover within its market and with the traditional asset classes, limiting its diversification benefits [14–17]. e interest of academics and market participants has therefore been drawn to the level of comovement and predictors of commodity prices and volatility spillover [7, 17, 18]. e comovement or otherwise of these commodities provides important information to portfolio investors on diversification opportunities and policymakers on policy interventions to mitigate price fluctuations on the world poorest people. Hindawi Complexity Volume 2021, Article ID 8848424, 13 pages https://doi.org/10.1155/2021/8848424