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

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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20603:62380

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20603:62380

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Umar_et_al_2021_Patterns_of_Spillover_in_Energy,_Agricultural,_and_Metal_Markets_A_Connectedness_Analysis_for_Years_1780-2020
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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:

Faculties > Faculty of Business & Law > Accounting & Finance

Date:

17 November 2021

Date Type:

Publication

Journal or Publication Title:

Finance Research Letters

Volume:

Number of Pages:

Language:

English

ISSN:

1544-6123

Status:

Published / Disseminated

Refereed:

Yes