Spillover and drivers of uncertainty among oil and commodity markets

Muhammad Abubakr Naeem, Saqib Farid, Safwan Mohd Nor, Syed Jawad Hussain Shahzad

Research output: Contribution to journalArticlepeer-review

21 Citations (Scopus)

Abstract

The paper aims to examine the spillover of uncertainty among commodity markets using Diebold–Yilmaz approach based on forecast error variance decomposition. Next, causal impact of global factors as drivers of uncertainty transmission between oil and other commodity markets is analyzed. Our analysis suggests that oil is a net transmitter to other commodity uncertainties, and this transmission significantly increased during the global financial crisis of 2008–2009. The use of linear and nonlinear causality tests indicates that the global factors have a causal effect on the overall connectedness, and especially on the spillovers from oil to other commodity uncertainties. Further segregation of transmissions between oil to individual commodity markets indicates that stock market implied volatility, risk spread, and economic policy uncertainty are the influential drivers of connectedness among commodity markets.

Original languageEnglish
Article number441
Pages (from-to)1-23
Number of pages23
JournalMathematics
Volume9
Issue number4
DOIs
Publication statusPublished - Feb 2 2021
Externally publishedYes

Keywords

  • Commodities
  • Global factors
  • Nonlinear causality
  • Uncertainty transmission

ASJC Scopus subject areas

  • General Mathematics

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