Title

The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels

ORCID Identifiers

0000-0001-6829-7021

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.

ISSN

0301-4207

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

85107280236

Indexed in Scopus

yes

Open Access

no

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