ArticleEnergy economics2022
Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities.
Article in Energy economics, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 10 papers.
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Who cites it
10 citing papers in PubMed, 167 citations in OpenAlex.
- Article
- Article
- Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach.Finance research letters · 2023Article
- Article
- Article
- COVID-19 and the quantile connectedness between energy and metal markets.Energy economics · 2023Article
- COVID-19 and China commodity price jump behavior: An information spillover and wavelet coherency analysis.Resources policy · 2022Article
- Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China.Resources policy · 2022Article
- The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak.Resources policy · 2022Article
- The impact of the COVID-19 pandemic on the global dynamic spillover of financial market risk.Frontiers in public health · 2022Article
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Authors and funding
4 authors at 4 institutions in 5 countries.
Funding
No grant is acknowledged in the PubMed record.
Abstract
With many studies highlighting the heterogeneous impact of the COVID-19 pandemic on different commodity markets, this study provides evidence of quantile connectedness between energy, metals, and agriculture commodity markets before and during the COVID-19 outbreak. Since mean-based measures of connectedness are not necessarily suitable to measure connectedness in the crisis period, especially in the tails of the return distribution, thus in this study, we use the newly developed approach of quantile-based connectedness. The full-sample analysis results show that return shocks only propagate within the energy commodity group. The findings manifest that transmission of return spillovers is stronger in the left and right tails of the conditional return distribution. In addition, the results unveil that degree of tail-dependence between energy, metals, and agriculture commodities are time-varying. Meanwhile, our sub-sample analysis clearly shows that the commodity market return connectedness demonstrates a significant shift over time due to COVID-19 shocks. There is evidence of strong transmission of return shocks between energy, metals, and agriculture commodities during the COVID-19 fiasco. Finally, the results also illustrate that softs and livestock commodities hold significant diversification benefits for energy market investors.
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