Spillover network of commodity uncertainties

Faruk Balli, Muhammad Abubakr Naeem, Syed Jawad Hussain Shahzad and Anne de Bruin

Energy Economics, 2019, vol. 81, issue C, 914-927

Abstract: We study time and frequency connectedness among 22 commodity uncertainty indexes. Applying spillover analysis and network graphs, we find that overall connectedness among commodity uncertainties increase during the global financial crisis (GFC) and the oil price collapse of 2014–16. Network analysis shows more spillover within a specific commodity class and that precious metals due to less spillover with other commodities may serve as safe-haven during the crisis. The decomposition of spillover index reveals that commodity markets are more connected in long-run. Implications of findings are discussed.

Keywords: Connectedness; Uncertainties; Commodities; Network analysis; Frequency decomposition (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (94)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:81:y:2019:i:c:p:914-927

DOI: 10.1016/j.eneco.2019.06.001

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