Extreme downside risk co-movement in commodity markets during distress periods: a multidimensional scaling approach

Gema Fernández-Avilés, José-María Montero and Lidia Sanchis-Marco

The European Journal of Finance, 2020, vol. 26, issue 12, 1207-1237

Abstract: We analyze the co-movement of a number of commodity markets in extreme financial episodes worldwide. More specifically, we provide extreme downside risk co-movement maps of these markets during six recent distress periods. We follow an expected shortfall-multidimensional scaling approach, which allows for an easy classification of markets according to their dynamics in risky episodes. No clear risk co-movement patterns are observed, nor spillover effects are detected. Financialization and speculation might have played some role in the dynamics of price and risk only in food commodity markets during the oil price increase 2007–2008.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:26:y:2020:i:12:p:1207-1237

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DOI: 10.1080/1351847X.2020.1724171

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