Article
Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020
Finance Research Letters
Document Type
Article
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
Publisher
Elsevier BV
Disciplines
Keywords
- Commodities,
- Connectedness,
- Early commodity prices,
- Network analysis,
- Variance decompositions
Scopus ID
85102445572
Indexed in Scopus
Yes
Open Access
No
https://doi.org/10.1016/j.frl.2021.101999
Citation Information
Zaghum Umar, Yasir Riaz and Adam Zaremba. "Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020" Finance Research Letters (2021) ISSN: <a href="https://v2.sherpa.ac.uk/id/publication/issn/1544-6123" target="_blank">1544-6123</a> Available at: http://works.bepress.com/zaghum-umar/21/