Spillover network of commodity uncertainties

Faruk Balli; Muhammad Abubakr Naeem; Syed Jawad Hussain Shahzad; Anne de Bruin

doi:10.1016/j.eneco.2019.06.001

Spillover network of commodity uncertainties

Faruk Balli, Muhammad Abubakr Naeem, Syed Jawad Hussain Shahzad, Anne de Bruin

Research output: Contribution to journal › Article › peer-review

138 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	914-927
Number of pages	14
Journal	Energy Economics
Volume	81
DOIs	https://doi.org/10.1016/j.eneco.2019.06.001
Publication status	Published - Jun 2019
Externally published	Yes

Keywords

Commodities
Connectedness
Frequency decomposition
Network analysis
Uncertainties

ASJC Scopus subject areas

Economics and Econometrics
General Energy

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10.1016/j.eneco.2019.06.001

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title = "Spillover network of commodity uncertainties",

abstract = "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.",

keywords = "Commodities, Connectedness, Frequency decomposition, Network analysis, Uncertainties",

author = "Faruk Balli and Naeem, {Muhammad Abubakr} and Shahzad, {Syed Jawad Hussain} and {de Bruin}, Anne",

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year = "2019",

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doi = "10.1016/j.eneco.2019.06.001",

language = "English",

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T1 - Spillover network of commodity uncertainties

AU - Balli, Faruk

AU - Naeem, Muhammad Abubakr

AU - Shahzad, Syed Jawad Hussain

AU - de Bruin, Anne

PY - 2019/6

Y1 - 2019/6

N2 - 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.

AB - 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.

KW - Commodities

KW - Connectedness

KW - Frequency decomposition

KW - Network analysis

KW - Uncertainties

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VL - 81

SP - 914

EP - 927

JO - Energy Economics

JF - Energy Economics

ER -

Spillover network of commodity uncertainties

Abstract

Keywords

ASJC Scopus subject areas

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