Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-02-01 DOI:10.1016/j.ribaf.2025.102781

Peter Albrecht , Evžen Kočenda , Alexandre Silva de Oliveira , Paulo Sergio Ceretta , Michal Drábek

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Abstract

We comprehensively analyze return connectedness among commodity currencies and commodities from 2010 to 2023. Our findings reveal iron, coal, and the Australian dollar as return transmitters to other currencies and commodities, particularly during economic downturns. By employing quantile analysis, we identify commodity currencies as net spillover receivers during periods of extreme economic turbulence. Additionally, we employ a novel testing bootstrap-after-bootstrap procedure and present the first statistically grounded evidence that endogenously identified specific shocks are behind increases in connectedness and correspond to systematic events in commodity markets. We find twelve endogenously chosen events corresponding to an escalation in return connectedness within a maximum of one business month following the event's occurrence. We also show that connectedness is linked to measures of uncertainty and liquidity that produce distinct impacts. Importantly, our results remain robust across various measures and carry significant implications for portfolio construction and risk management strategies.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance