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

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-12-15 DOI:10.1016/j.jcomm.2023.100380

Jinxin Cui , Aktham Maghyereh

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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.

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揭开相互联系的面纱：在地缘政治风险和系统性压力背景下探索能源、贵金属、工业金属和农产品之间的高阶时刻

本研究调查了地缘政治风险、系统性压力和商品期货（能源、贵金属、工业金属和农产品）之间的联系和关联性。我们将 22 天滚动事后高阶矩与新颖的 Quantile-VAR 扩展联合关联性框架相结合。我们的研究结果凸显了地缘政治风险和系统性压力对高阶矩风险的等相关性和溢出效应的重大影响。高阶矩风险在极端上限（0.95）和下限（0.05）的总溢出效应明显高于中位数溢出效应。地缘政治风险给商品期货带来了大量的高阶矩风险净溢出效应，尤其是在极端市场状态下。在正常市场条件下，系统性金融压力也会对商品期货产生显著的溢出效应。此外，动态关联度指数会随着时间和数量级的变化而变化。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.