Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020

被引：37

作者：

Umar, Zaghum ^{[1
,2
]}

Riaz, Yasir ^{[3
]}

Zaremba, Adam ^{[4
,5
,6
]}

机构：

[1] Zayed Univ, Coll Business, Abu Dhabi, U Arab Emirates

[2] South Ural State Univ, Lenin Prospect 76, Chelyabinsk 454080, Russia

[3] Namal Inst, Dept Business Studies, 30 KM Talagang Rd, Mianwali, Pakistan

[4] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier 4, France

[5] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[6] Univ Montpellier, Montpellier Res Management, Montpellier, France

来源：

FINANCE RESEARCH LETTERS | 2021年 / 43卷

关键词：

Commodities; Connectedness; Early commodity prices; Variance decompositions; Network analysis; IMPULSE-RESPONSE ANALYSIS; CYCLES;

D O I：

10.1016/j.frl.2021.101999

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the connectedness of nine different commodity classes over more than two centuries. The data sample includes monthly observations from the years 1780 to 2020. Our static analysis shows precious metals, soft foods, grains and, base metals as a net transmitter of spillover. The time-varying analysis shows that connectedness increases during economic crises, political uncertainty, and commodity-driven supply shocks. Our results have important implications for regulators, portfolio managers, and policymakers.

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页数：7

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