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Spillover network of commodity uncertainties

Author

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  • Balli, Faruk
  • Naeem, Muhammad Abubakr
  • Shahzad, Syed Jawad Hussain
  • de Bruin, Anne
Abstract
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.

Suggested Citation

  • Balli, Faruk & Naeem, Muhammad Abubakr & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2019. "Spillover network of commodity uncertainties," Energy Economics, Elsevier, vol. 81(C), pages 914-927.
    • Handle: RePEc:eee:eneeco:v:81:y:2019:i:c:p:914-927
    DOI: 10.1016/j.eneco.2019.06.001
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    Keywords

    Connectedness; Uncertainties; Commodities; Network analysis; Frequency decomposition;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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