Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress

Jinxin Cui, Aktham Maghyereh

    Research output: Contribution to journalArticlepeer-review

    5 Citations (Scopus)

    Abstract

    This study investigates linkages and connectedness among geopolitical risks, systemic stress, and commodity futures (energy, precious metals, industrial metals, and agricultural commodities). We combine the 22-day rolling ex-post higher-order moments with a novel Quantile-VAR extended joint connectedness framework. Our findings highlight the significant impacts of geopolitical risks and systemic stress on equicorrelations and spillovers of the higher-order moment risks. The total spillovers of higher-order moments at the extreme upper (0.95) and lower (0.05) quantiles are notably higher than those at the median quantile. Geopolitical risks convey substantial net spillovers of higher-order moment risks to commodity futures, particularly in extreme market status. In normal market conditions, systemic financial stress also transmits notable spillovers to commodity futures. Moreover, the dynamic connectedness indices evolve across time and quantiles.

    Original languageEnglish
    Article number100380
    JournalJournal of Commodity Markets
    Volume33
    DOIs
    Publication statusPublished - Mar 2024

    Keywords

    • Commodity futures
    • Geopolitical risks
    • Higher-order moment spillovers
    • Quantile-VAR extended joint connectedness
    • Systemic financial stress

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics

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