The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels
ORCID Identifiers
Document Type
Article
Source of Publication
Resources Policy
Publication Date
10-1-2021
Abstract
We apply wavelet analyses to study how the Covid pandemic influenced the volatility of commodity prices, covering various classes of commodities. We document the intervals of low, medium, and high coherence between the coronavirus panic index and the moves of the commodity prices. The low coherence intervals indicate the diversification potential of commodity investments during a systemic pandemic such as Covid-19. We document differences in the observed patterns per commodity category and evidence their potential role for designing cross-assets hedge strategies based on investments in commodities.
DOI Link
ISSN
Publisher
Elsevier
Volume
73
Disciplines
Business
Keywords
Causality, Co-movements, Coherence, Commodity, Coronavirus panic index, Covid-19, Hedge strategies, Leads and lags, Phase difference, Regime switching, Resources policy, Volatility, Wavelet coherence phase-difference
Scopus ID
Recommended Citation
Umar, Zaghum; Gubareva, Mariya; and Teplova, Tamara, "The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels" (2021). All Works. 4282.
https://zuscholars.zu.ac.ae/works/4282
Indexed in Scopus
yes
Open Access
no