Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020

Zaghum Umar, Yasir Riaz and Adam Zaremba ()

Finance Research Letters, 2021, vol. 43, issue C

Abstract: This paper investigates the connectedness of nine different commodity classes over more than two centuries. The data sample includes monthly observations from the years 1780 to 2020. Our static analysis shows precious metals, soft foods, grains and, base metals as a net transmitter of spillover. The time-varying analysis shows that connectedness increases during economic crises, political uncertainty, and commodity-driven supply shocks. Our results have important implications for regulators, portfolio managers, and policymakers.

Keywords: Commodities; Connectedness; Early commodity prices; Network analysis; Variance decompositions (search for similar items in EconPapers)
JEL-codes: C53 F37 G17 Q02 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000805

DOI: 10.1016/j.frl.2021.101999

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