Exploring the time and frequency domain connectedness of oil prices and metal prices

Zaghum Umar, Samia Nasreen, Sakiru Solarin and Aviral Tiwari

Resources Policy, 2019, vol. 64, issue C

Abstract: This paper explores the time and frequency domain connectedness between oil prices and metal prices for the period of 1980M1-2017M5. We employ DECO-GARCH model for equi-correlation among commodity under consideration, Diebold and Yilmaz (2014), for time domain, and Barunik and Krehlik (2017), for frequency domain (i.e., frequencies considered are: 1–4 months, 4–8 months, 8–15 months and more than 15 months) connectedness measures. The dynamic connectedness is examined by applying a rolling window method in time and frequency domain. Besides, network plots are also made based on the pair-wise net connectedness between the variables. The results for time domain analysis show that the overall connectedness of the system has been just 3.39%. The empirical results of frequency domain connectedness show that total connectedness varies at different frequencies. The maximum contribution is observed at short-term frequency, (1–4 months; 1.65%) and the lowest contribution at medium-term frequency (8–15 months; 0.45%.). The contribution from the highest frequency, which corresponds to more than 15 months’ period, is just 0.56%. The network analysis shows that Zinc is net receiver.

Keywords: Time and frequency domain connectedness; Network analysis; Oil prices; Metal prices (search for similar items in EconPapers)
JEL-codes: C1 L72 Q41 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420718304458

DOI: 10.1016/j.resourpol.2019.101516

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