 Geopolitical risk and dynamic connectedness between commodity marketsXu Gong and Jun Xu Energy Economics, 2022, vol. 110, issue C Abstract: In this paper, we use the improved Diebold & Yilmaz method based on TVP-VAR-SV model to analyze dynamic connectedness between energy, precious metal, industrial metal, agriculture and livestock commodity markets. The results show that the energy, industrial metal, and precious metal commodity markets are the information transmitters in commodity markets, and the agriculture and livestock commodity markets play the roles of information receivers. Furthermore, we employ the GARCH-MIDAS model to study the influence of geopolitical risk on the dynamic connectedness between five commodity markets. We find that geopolitical risk, especially geopolitical act risk, significantly affects the overall connectedness of commodity markets. And more notably, the impacts on the net spillover of various commodity markets are different. Geopolitical risk has positive effects on the net spillover of energy, agriculture and livestock commodity markets, and negative effects on precious metal and industrial metal commodity markets. Keywords: Geopolitical risk; Commodity; GARCH-MIDAS model; Diebold & Yilmaz method; TVP-VAR-SV model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001979 DOI: 10.1016/j.eneco.2022.106028 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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