 Multiscale extreme risk spillover between shipping and commodity markets: An analysis based on GARCH-Copula-CoVaRHonghan Bei, Qian Wang, Xiaoxiao Yan and Xinpeng Geng Energy Economics, 2025, vol. 148, issue C Abstract: The acceleration of global trade has intensified the exchange of information across shipping and commodity markets. This study employs a GARCH-Copula-CoVaR framework to rigorously analyse the dependence and extreme risk spillover dynamics between key shipping market and both the aggregate commodity market as well as its sub-sectors, adopting a multi-scale analytical approach. Our empirical analysis identifies notable bidirectional risk spillovers between the shipping and commodity sectors, particularly during periods of market downturns. The energy sector exhibits heightened sensitivities to risk, while the precious metals market stands out for its capacity for risk mitigation. The study also integrates the impact of geopolitical risks, offering a multi-scale understanding of inter-market correlations. It quantifies the risk spillover effects and explores the underlying transmission mechanisms, thereby enhancing comprehension of the complex spillover phenomena linking shipping and commodity markets. Keywords: Risk spillover; Shipping market; Commodity market (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325003883 DOI: 10.1016/j.eneco.2025.108564 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.