Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress

Jinxin Cui and Aktham Maghyereh

Journal of Commodity Markets, 2024, vol. 33, issue C

Abstract: This study investigates linkages and connectedness among geopolitical risks, systemic stress, and commodity futures (energy, precious metals, industrial metals, and agricultural commodities). We combine the 22-day rolling ex-post higher-order moments with a novel Quantile-VAR extended joint connectedness framework. Our findings highlight the significant impacts of geopolitical risks and systemic stress on equicorrelations and spillovers of the higher-order moment risks. The total spillovers of higher-order moments at the extreme upper (0.95) and lower (0.05) quantiles are notably higher than those at the median quantile. Geopolitical risks convey substantial net spillovers of higher-order moment risks to commodity futures, particularly in extreme market status. In normal market conditions, systemic financial stress also transmits notable spillovers to commodity futures. Moreover, the dynamic connectedness indices evolve across time and quantiles.

Keywords: Higher-order moment spillovers; Quantile-VAR extended joint connectedness; Geopolitical risks; Systemic financial stress; Commodity futures (search for similar items in EconPapers)
JEL-codes: C58 G11 G15 Q54 Q56 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000703

DOI: 10.1016/j.jcomm.2023.100380

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