Md Mostafa Kamal , Eduardo Roca , Bin Li , Chen Lin , Rajibur Reza
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引用次数: 0
Abstract
Utilizing cross-correlation-based Planar Maximally Filtered Graph, and conditional Value-at-Risk-based extreme risk spillover network approaches, we analyze the structure and dynamics of price contagion and risk transmission between different commodity groups in the global commodity futures market during the Global Financial Crisis (GFC) and different phases of the COVID-19 pandemic. As expected, owing to the fundamental differences between the two crises, we find very divergent commodity network structures and non-identical direction of risk transmission between commodities in these two crises. Gold and silver, however, continued to play their role of risk transmitters based on several factors, including the severity of the economic or political crisis, prevailing market sentiment, and the distinctive attributes of the affected asset classes in both crisis—right at the beginning of the GFC but towards the latter part of the COVID19 crisis.
期刊介绍:
Resources Policy is an international journal focused on the economics and policy aspects of mineral and fossil fuel extraction, production, and utilization. It targets individuals in academia, government, and industry. The journal seeks original research submissions analyzing public policy, economics, social science, geography, and finance in the fields of mining, non-fuel minerals, energy minerals, fossil fuels, and metals. Mineral economics topics covered include mineral market analysis, price analysis, project evaluation, mining and sustainable development, mineral resource rents, resource curse, mineral wealth and corruption, mineral taxation and regulation, strategic minerals and their supply, and the impact of mineral development on local communities and indigenous populations. The journal specifically excludes papers with agriculture, forestry, or fisheries as their primary focus.