Article
The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels
Resources Policy
ORCID Identifiers
Document Type
Article
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
Publisher
Elsevier
Disciplines
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
Indexed in Scopus
Yes
Open Access
No
https://doi.org/10.1016/j.resourpol.2021.102164
Citation Information
Zaghum Umar, Mariya Gubareva and Tamara Teplova. "The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels" Resources Policy Vol. 73 (2021) ISSN: <p><a href="https://v2.sherpa.ac.uk/id/publication/issn/0301-4207" target="_blank">0301-4207</a></p> Available at: http://works.bepress.com/zaghum-umar/37/