Exploring the time and frequency domain connectedness of oil prices and metal prices

Document Type

Article

Source of Publication

Resources Policy

Publication Date

12-1-2019

Abstract

© 2019 Elsevier Ltd This paper explores the time and frequency domain connectedness between oil prices and metal prices for the period of 1980M1-2017M5. We employ DECO-GARCH model for equi-correlation among commodity under consideration, Diebold and Yilmaz (2014), for time domain, and Barunik and Krehlik (2017), for frequency domain (i.e., frequencies considered are: 1–4 months, 4–8 months, 8–15 months and more than 15 months) connectedness measures. The dynamic connectedness is examined by applying a rolling window method in time and frequency domain. Besides, network plots are also made based on the pair-wise net connectedness between the variables. The results for time domain analysis show that the overall connectedness of the system has been just 3.39%. The empirical results of frequency domain connectedness show that total connectedness varies at different frequencies. The maximum contribution is observed at short-term frequency, (1–4 months; 1.65%) and the lowest contribution at medium-term frequency (8–15 months; 0.45%.). The contribution from the highest frequency, which corresponds to more than 15 months’ period, is just 0.56%. The network analysis shows that Zinc is net receiver.

ISSN

0301-4207

Publisher

Elsevier Ltd

Volume

64

First Page

101516

Disciplines

Business

Keywords

Metal prices, Network analysis, Oil prices, Time and frequency domain connectedness

Scopus ID

85073814816

Indexed in Scopus

yes

Open Access

no

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