Time‐varying pure contagion effect between energy and nonenergy commodity markets

Xu Gong, Yujing Jin and Chuanwang Sun

Journal of Futures Markets, 2022, vol. 42, issue 10, 1960-1986

Abstract: This paper combines the Kalman filtering technique and the time‐varying parameter vector autoregression model with stochastic volatility model to explore pure contagion effects between energy and nonenergy (i.e., industrial metals, precious metals, and agricultural) commodity markets. Empirical results show the significant pure contagion effects between energy and industrial metals markets in most periods, while pure contagion effects between energy and precious metals and agricultural markets occur only in a few specific periods. Comparing the level of pure contagion effects between different commodity markets, energy is still the main price transmitter. In addition, with the acceleration of the global commodity market financialization process, the frequency and harm of pure contagion effects are gradually increasing. Notably, the COVID‐19 pandemic is emerging as another major crisis after the global financial crisis, exacerbating the pure contagion effects between energy and precious metals and agricultural markets.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://doi.org/10.1002/fut.22366

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1960-1986

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().