Global financial crisis and rising connectedness in the international commodity markets
By Dayong Zhang, D. Broadstock. 2020
331 citations recorded by the source corpus.
Abstract This paper documents a dramatic change in the nature of connectedness in global commodity prices following the 2008 global financial crisis. We show that co-dependence in price-changes among seven major commodity classes goes from a pre-crisis average of 14.82% to a strikingly larger average of 47.87% in the period following the crisis, and which has endured until now. Dynamic swings in price co-movements of such a scale present a clear concern for financial investors and are of immediate interest to a wider policy-maker audience. Of particular interest is the empirical behavior of the food commodity price index, whose contribution to the system dynamics rises from less than 20% in the period up to 2008, to more than 80% after. To dispel any concern that these finding may be method-specific, we demonstrate their invariance to modeling procedure by providing analogous-results using a pairwise Granger causality analysis, as well as different sub-sampling choices.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/e4d13f542c8100b89e3b63745b5c33db885f3fc6
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In Economics and Econometrics
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- Andrew Urquhart
- O. Adekoya
Citations in the corpus
- Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities? (2020, neutral): “It is different from similar previous research on the 2008 financial crisis (Zhang and Broadstock, 2018), which shows a long-term effect on commodities net spillovers.”
- Return connectedness across asset classes around the COVID-19 outbreak (2020, methodology): “Some studies consider the transmission across assets using various methods such as conditional correlation (Dua and Tuteja, 2016; Öztek and Öcal, 2017), Granger-causality (e.g., Billio et al., 2012; Zhang and Broadstock, 2018), copulas (Philippas and Siriopoulos, 2013; Ji et al.”