Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks

被引：52
作者：
Khalfaoui, Rabeh [1 ]
Baumohl, Eduard [2 ,3 ,4 ]
Sarwar, Suleman [5 ]
Vyrost, Tomas [2 ,3 ,4 ]
机构：
[1] Fac Sci Econ & Gest Sfax, Lab Rech Econ & Gest LR18ES27, Sfax, Tunisia
[2] Univ Econ Bratislava, Dolnozernska Cesta 1, Bratislava 85235, Slovakia
[3] Tech Univ Kosice, Fac Econ, Nemcovej 32, Kosice 04001, Slovakia
[4] Masaryk Univ, Inst Financial Complex Syst, Lipova 41a, Brno 60200, Czech Republic
[5] Univ Jeddah, Dept Finance & Econ, Coll Business, Jeddah, Saudi Arabia
来源：
RESOURCES POLICY | 2021年 / 74卷
关键词：
Energy; Nonenergy; Quantile coherency; Network analysis; Dependence; Commodity markets; CRUDE-OIL; FOOD-PRICES; MONETARY-POLICY; AGRICULTURAL COMMODITIES; VOLATILITY SPILLOVERS; STOCK-MARKET; CO-MOVEMENT; DEPENDENCE; DYNAMICS; ECONOMY;
D O I：
10.1016/j.resourpol.2021.102318
中图分类号：
X [环境科学、安全科学];
学科分类号：
08 ; 0830 ;
摘要：
The worldwide economy has experienced several changes in energy and nonenergy prices. This has motivated academics, investors, and policymakers to analyze the relationships between energy and nonenergy commodity markets. In this study, a novel approach of quantile coherency is used to examine the dependence structure between energy and nonenergy commodity pairs at different frequencies and quantiles in their joint return distribution over the period 1960:M1-2019:M10. Overall, the empirical findings illustrate evidence of a low significant dependency between energy and nonenergy commodity markets across different frequencies and quantiles. In addition, our findings show that some nonenergy commodity markets have a neutral relationship with global energy commodity markets.
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页数：14
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