The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels
Source of Publication
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.
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
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.
Indexed in Scopus