Umar, Z., Riaz, Y. and Zaremba, A. (2021) Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020. Finance Research Letters. 43 1544-6123.
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Abstract:
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.
Uncontrolled Keywords:
Commodities, Connectedness, Early commodity prices, Network analysis, Variance decompositions
Creators:
Umar, Z., Riaz, Y. and Zaremba, A.
Faculties, Divisions and Institutes:
Date:
17 November 2021
Date Type:
Publication
Journal or Publication Title:
Finance Research Letters
Volume:
43
Number of Pages:
427222
Language:
English
ISSN:
1544-6123
Status:
Published / Disseminated
Refereed:
Yes
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