Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities

Saqib Farid, Muhammad Abubakr Naeem, Andrea Paltrinieri, Rabindra Nepal

Research output: Contribution to journalArticlepeer-review

86 Citations (Scopus)


With many studies highlighting the heterogeneous impact of the COVID-19 pandemic on different commodity markets, this study provides evidence of quantile connectedness between energy, metals, and agriculture commodity markets before and during the COVID-19 outbreak. Since mean-based measures of connectedness are not necessarily suitable to measure connectedness in the crisis period, especially in the tails of the return distribution, thus in this study, we use the newly developed approach of quantile-based connectedness. The full-sample analysis results show that return shocks only propagate within the energy commodity group. The findings manifest that transmission of return spillovers is stronger in the left and right tails of the conditional return distribution. In addition, the results unveil that degree of tail-dependence between energy, metals, and agriculture commodities are time-varying. Meanwhile, our sub-sample analysis clearly shows that the commodity market return connectedness demonstrates a significant shift over time due to COVID-19 shocks. There is evidence of strong transmission of return shocks between energy, metals, and agriculture commodities during the COVID-19 fiasco. Finally, the results also illustrate that softs and livestock commodities hold significant diversification benefits for energy market investors.

Original languageEnglish
Article number105962
JournalEnergy Economics
Publication statusPublished - May 2022


  • Agriculture commodities
  • COVID-19
  • Energy
  • Metals
  • Quantile connectedness

ASJC Scopus subject areas

  • Economics and Econometrics
  • General Energy


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