Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020
Source of Publication
Finance Research Letters
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.
Commodities, Connectedness, Early commodity prices, Network analysis, Variance decompositions
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.
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