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

Author First name, Last name, Institution

Zaghum Umar, Zayed UniversityFollow
Yasir Riaz, Namal Institute
Adam Zaremba, Montpellier Business School

ORCID Identifiers

0000-0002-4448-3847

0000-0001-5879-9431

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

1-1-2021

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.

DOI Link

10.1016/j.frl.2021.101999

ISSN

1544-6123

Publisher

Elsevier BV

Disciplines

Business

Keywords

Commodities, Connectedness, Early commodity prices, Network analysis, Variance decompositions

Scopus ID

85102445572

Recommended Citation

Umar, Zaghum; Riaz, Yasir; and Zaremba, Adam, "Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020" (2021). All Works. 4104.
https://zuscholars.zu.ac.ae/works/4104

Indexed in Scopus

yes

Open Access

no