Spillover network of commodity uncertainties

By Faruk Balli, M. Naeem, Syed Jawad Hussain Shahzad, A. Bruin. Energy Economics, 2019

155 citations recorded by the source corpus.

We study time and frequency connectedness among 22 commodity uncertainty indexes. Applying spillover analysis and network graphs, we find that overall connectedness among commodity uncertainties increase during the global financial crisis (GFC) and the oil price collapse of 2014–16. Network analysis shows more spillover within a specific commodity class and that precious metals due to less spillover with other commodities may serve as safe-haven during the crisis. The decomposition of spillover index reveals that commodity markets are more connected in long-run. Implications of findings are discussed.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/64401a2b107fd5b159fc309102dd69d9d790e790

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Time and frequency connectedness among oil shocks, electricity and clean energy markets (2020, unknown): “between commodities and financial markets increase more during times of worse economic conditions (see Bhardwaj et al., 2015; Krehlik and Barunik, 2017; Li et al., 2016; Ferrer et al., 2018; Balli et al., 2019; Badshah et al., 2019).”
Asymmetric volatility spillover among Chinese sectors during COVID-19 (2021, methodology): “Our use of both time- and frequency-domain connectedness follows from Balli et al. (2019), Caporin et al., 2021, Liu and Hamori (2020) and Zhang, Hu, and Ji (2020).”