Risk spillovers among energy, metals, and agriculture commodity markets: A network perspective

Zixin Liu, Renhao Zou, Shuguang Zhang and Cheng Zhang

Finance Research Letters, 2025, vol. 83, issue C

Abstract: This study examines tail risk contagion and diversification in commodity markets using tail risk networks. The analysis of adjacency matrices reveals a more pronounced contagion effect among commodities within the same category compared to those across different categories, with industrial metals driving cross-category risk transmission. Precious metals showed greater hedging effectiveness during the Russia–Ukraine war than COVID-19. Moreover, the principal risk contributors in commodity markets exhibit time-varying characteristics. Finally, the study identifies market heterogeneity and asymmetry in the influence of network factors on commodity markets. These findings hold significance for regulatory agencies to maintain stability in commodity markets.

Keywords: Tail risk; Risk contagion; Risk diversification; Network; Commodity market (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:83:y:2025:i:c:s1544612325007615

DOI: 10.1016/j.frl.2025.107502

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