DIFFERENT MOMENTS CREATE DIFFERENT SPILLOVERS: A STUDY OF COMMODITY MARKETS

Xie He and Shigeyuki Hamori
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Xie He: Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-ku, Kobe 657-8501, Japan
Shigeyuki Hamori: Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-ku, Kobe 657-8501, Japan

The Singapore Economic Review (SER), 2025, vol. 70, issue 03, 537-558

Abstract: Although the spillover effects of return and volatility risk across commodity markets have been demonstrated, evidence of extreme risk spillovers is limited. Using an autoregressive conditional density model, this study estimates the conditional skewness of nine S&P Goldman Sachs Commodity indices and then applies the Diebold–Yilmaz TVP-VAR-based approach to investigate the higher moment spillovers across commodity markets. Our findings provide evidence of extreme risk transfers from one commodity index to another. Among three energy indices including crude oil, natural gas and gasoil, crude oil transmits the most return, volatility risk and extreme risk to the agricultural indices and precious metal indices. Furthermore, our results confirm that spillovers in all three moments were significantly strengthened by extreme events such as the September 11 attacks, the global financial crisis, the food price crisis, the violent shock of international oil prices and the coronavirus disease of 2019. However, different events may have different impacts on spillovers. Finally, the results indicate that return spillover and skewness are affected by extreme events with almost the same intensity and direction for most periods.

Keywords: Higher moments; conditional skewness; conditional volatility; spillover effect (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1142/S021759082350025X

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