Total, quantile, and frequency risk transmission among metal commodities

Huifu Nong and Qian Huang

International Journal of Finance & Economics, 2025, vol. 30, issue 3, 2311-2326

Abstract: This study investigates the total, quantile, and frequency risk transmission among five widely traded metals namely copper, gold, lead, silver, and zinc using forecast error variance decomposition. The analysis spans from 1 January 2002, to 30 June 2023. Our findings reveal that the total connectedness index (TCI) changed over time, indicating sensitivity to time‐specific developments and major events during different periods. The TCI is influenced more by extreme positive or negative shocks, as the lower and upper quantile TCIs are higher compared to the medium quantile TCI. Furthermore, the short‐term TCIs exhibit higher values than the medium‐ and long‐term TCIs. These variations imply that the TCI is influenced by different types of shocks or mechanisms across different quantiles. Specifically, the short‐term TCIs are driven by global economic policy uncertainty, real global economic activity, and the geopolitical risk index (GPR). However, the medium‐ and long‐term TCIs are solely influenced by the GPR.

Date: 2025
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