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

被引：6

作者：

Cui, Jinxin ^{[1
,2
]}

Maghyereh, Aktham ^{[3
]}

机构：

[1] Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou 310018, Peoples R China

[2] Zhejiang Gongshang Univ, Collaborat Innovat Ctr Stat Data Engn Technol & Ap, Hangzhou 310018, Peoples R China

[3] United Arab Emirates Univ, Dept Accounting & Finance, Dubai, U Arab Emirates

来源：

JOURNAL OF COMMODITY MARKETS | 2024年 / 33卷

关键词：

Higher-order moment spillovers; Quantile-VAR extended joint connectedness; Geopolitical risks; Systemic financial stress; Commodity futures; VOLATILITY SPILLOVERS; STOCK; GOVERNANCE; SKEWNESS; INDEX; OIL;

D O I：

10.1016/j.jcomm.2023.100380

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：45