Spillover network of commodity uncertainties
Spillover network of commodity uncertainties
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DOI：
10.1016/j.eneco.2019.06.001
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发表时间：
2019-06-01
期刊：
影响因子：
12.8
通讯作者：
de Bruin, Anne
中科院分区：
文献类型：
--
作者：
Balli, Faruk;Naeem, Muhammad Abubakr;de Bruin, Anne
我们研究 22 个商品不确定性指数之间的时间和频率关联性。应用溢出分析和网络图，我们发现在全球金融危机 (GFC) 和 2014-16 年油价暴跌期间，大宗商品不确定性之间的整体关联性有所增加。网络分析显示，特定商品类别内的溢出效应更大，而贵金属由于与其他商品的溢出效应较少，可能在危机期间充当避险资产。溢出指数的分解表明，从长远来看，大宗商品市场的联系更加紧密。讨论了研究结果的意义。 (C) 2019 Elsevier B.V. 保留所有权利。
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. (C) 2019 Elsevier B.V. All rights reserved.