Global financial crisis and rising connectedness in the international commodity markets
Dayong Zhang () and
David Broadstock ()
International Review of Financial Analysis, 2020, vol. 68, issue C
This paper documents a dramatic change in the nature of connectedness in global commodity prices following the 2008 global financial crisis. We show that co-dependence in price-changes among seven major commodity classes goes from a pre-crisis average of 14.82% to a strikingly larger average of 47.87% in the period following the crisis, and which has endured until now. Dynamic swings in price co-movements of such a scale present a clear concern for financial investors and are of immediate interest to a wider policy-maker audience. Of particular interest is the empirical behavior of the food commodity price index, whose contribution to the system dynamics rises from less than 20% in the period up to 2008, to more than 80% after. To dispel any concern that these finding may be method-specific, we demonstrate their invariance to modeling procedure by providing analogous-results using a pairwise Granger causality analysis, as well as different sub-sampling choices.
Keywords: Connectedness; Commodity; Financial crisis (search for similar items in EconPapers)
JEL-codes: O13 Q02 Q11 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:68:y:2020:i:c:s1057521918304587
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