The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels

Zaghum Umar, Mariya Gubareva and Tamara Teplova

Resources Policy, 2021, vol. 73, issue C

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.

Keywords: Covid-19; Commodity; Coronavirus panic index; Volatility; Wavelet coherence phase-difference; Coherence; Phase difference; Causality; Co-movements; Leads and lags; Hedge strategies; Resources policy; Regime switching (search for similar items in EconPapers)
JEL-codes: C22 C58 G01 G10 G11 G15 G19 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (57)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001781

DOI: 10.1016/j.resourpol.2021.102164

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