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Is there commodity connectedness across investment horizons? Evidence using news-based uncertainty indices

Prachi Jain and Debasish Maitra

Economics Letters, 2023, vol. 225, issue C

Abstract: The study examines the uncertainty connectedness among 12 popularly traded commodities for high-, medium and low-frequencies using TVP-VAR parameters. The uncertainty is measured exogenously as a weekly news-based index from January 2000 to May 2021. The frequency decomposed network reveals high and turbulent connectedness at the higher frequency (1-4 weeks) and low and stable connectedness at lower frequencies. The total uncertainty connectedness rises during the periods of crises. The findings are instrumental for policymakers and investors with different horizons of investment.

Keywords: Uncertainty; Oil; Commodities; Connectedness (search for similar items in EconPapers)
JEL-codes: G1 G11 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000502

DOI: 10.1016/j.econlet.2023.111025

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