Spillover network of commodity uncertainties

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

Research output: Contribution to journalArticlepeer-review

127 Citations (Scopus)


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 languageEnglish
Pages (from-to)914-927
Number of pages14
JournalEnergy Economics
Publication statusPublished - Jun 2019
Externally publishedYes


  • Commodities
  • Connectedness
  • Frequency decomposition
  • Network analysis
  • Uncertainties

ASJC Scopus subject areas

  • Economics and Econometrics
  • General Energy


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