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Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications

Kousik Guhathakurta, Saumya Ranjan Dash and Debasish Maitra

Energy Economics, 2020, vol. 85, issue C

Abstract: This paper analyses the changing impact of oil price shocks on a bouquet of metal and agro prices and their implications for investment decisions, during different oil price regimes, separated by structural breaks. Endogenously identifying the structural breaks, we use network analysis to decipher the nature and extent of such shock transfer across different sub periods. We suggest optimal portfolios based on conditional variance estimates to hedge oil shocks during each period. This is the first study to analyse the portfolio decisions during specific oil price regimes. The results are of significant interest to investors and policy makers.

Keywords: Oil price; Volatility spillover; Structural breaks; Portfolio diversification (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.eneco.2019.104566

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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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