Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets

Amine Ben Amar, Stéphane Goutte and Mohammad Isleimeyyeh

The Quarterly Review of Economics and Finance, 2022, vol. 85, issue C, 386-400

Abstract: In this article, we introduce a new approach to investigate the asymmetric connectedness between different commodity markets. Indeed, we build on Barunik et al. (2016) and extend the connectedness framework of Diebold and Yilmaz (2012) by incorporating the cyclical components of the underlying variables. This new approach allows us to capture possible asymmetries in cyclical behavior in commodity market. Using this new method, we compute the connectedness between five commodity sectors: energy, agriculture, metals, precious metals, and fertilizers for a 60-year period (from January 1960 to March 2021). First, we find that the spillover between commodity market sectors selected become intense in political and financial crisis periods. Second, the connectedness between commodity markets is asymmetric, inequal, and clustering across the sample selected. Third, in tension periods, the magnitude of connectedness implied by bullish cycles is greater than that implied by bearish cycles.

Keywords: Asymmetric connectedness; Bearish market; Bullish market; Commodity markets (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:85:y:2022:i:c:p:386-400

DOI: 10.1016/j.qref.2022.04.009

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