Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis

Peter Albrecht (), Evžen Kočenda, Alexandre Silva de Oliveira, Paulo Sergio Ceretta and Michal Drábek

Research in International Business and Finance, 2025, vol. 75, issue C

Abstract: We comprehensively analyze return connectedness among commodity currencies and commodities from 2010 to 2023. Our findings reveal iron, coal, and the Australian dollar as return transmitters to other currencies and commodities, particularly during economic downturns. By employing quantile analysis, we identify commodity currencies as net spillover receivers during periods of extreme economic turbulence. Additionally, we employ a novel testing bootstrap-after-bootstrap procedure and present the first statistically grounded evidence that endogenously identified specific shocks are behind increases in connectedness and correspond to systematic events in commodity markets. We find twelve endogenously chosen events corresponding to an escalation in return connectedness within a maximum of one business month following the event's occurrence. We also show that connectedness is linked to measures of uncertainty and liquidity that produce distinct impacts. Importantly, our results remain robust across various measures and carry significant implications for portfolio construction and risk management strategies.

Keywords: Return connectedness; Commodities; Commodity currencies; Return spillovers (search for similar items in EconPapers)
JEL-codes: C18 C58 F31 G15 Q02 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000376

DOI: 10.1016/j.ribaf.2025.102781

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