Explain systemic risk of commodity futures market by dynamic network

Chengying He, Ke Huang, Jianwu Lin, Tianqi Wang and Zuominyang Zhang

International Review of Financial Analysis, 2023, vol. 88, issue C

Abstract: Since inflation of commodities is becoming more and more severe recently caused by many macro events, such as COVID-19 and Russian-Ukrainian conflict, systemic risk of commodity futures market is getting more attention from academic and industrial areas. Instead of using external factors to explain this risk as previous researches, we explain it by internal topology and structures of commodity futures market. This method helps us understand its key driving factors and their different impact to Chinese and international commodity futures markets.

Keywords: Commodity futures markets; Empirical mode decomposition; CoVaR; Dynamic network (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001746

DOI: 10.1016/j.irfa.2023.102658

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