Dynamics of connectedness across crude oil, precious metals and exchange rate: Evidence from time and frequency domains

The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak

“…Since natural gas has lower connectedness with EUA, investors could benefit if they add natural gas in their portfolio to be a hedging need. In addition, gold has lower connectedness with oil before and after the pandemic crisis, compared to previous results of Li et al (2021) and Shah et al (2021) . The reason is that the spillover between gold and oil in previous studies is overestimated due to neglect of the effects from other energy and mental markets.…”

Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices

“…Furthermore, the pairwise volatility connectedness analysis also shows that G7 currencies are more correlated in times of crisis, such as the global financial crisis and the European sovereign debt crisis. This outcome is supported by (Dimitriou et al 2017 ; Shah et al 2021 ), suggesting that financial risk spillovers are stronger during economic downturns.…”

“…Moreover, despite being affected by U.S.CPU, WTI has a spillover influence on G7 currencies, with a larger impact on CA and JP currencies. In addition, there is a strong spillover effect of WTI against most currencies during the sample periods of the second half of 2008 and the first half of 2020, which may be connected to the global financial crisis (Diaz et al 2016 ) and the COVID-19 pandemic factors (Shah et al 2021 ). Our outcomes suggest that U.S.CPU can not only directly affect G7 currencies but also indirectly exert influence on exchange rates through the pass-through effect of changes in crude oil prices.…”

Risk contagion in financial markets: A systematic review using bibliometric methods

“…The research contained in Cluster 2 has been aimed at extending the understanding of risk contagion among different asset classes, such as volatility spillovers across various financial assets, and herding behaviour in financial markets (Economou, Gavriilidis, Kallinterakis, & Yordanov, 2015;Economou, Katsikas, & Vickers, 2016). Among different types of financial assets, energy market, commodity market, and most recently, cryptocurrency market have attracted much attention and become the most popular research topics (Corbet et al, 2018(Corbet et al, , 2019Guo, Lu, & Wei, 2021;Ji, Bouri, Lau, & Roubaud, 2019;Ji, Bouri, Roubaud, & Kristoufek, 2019;Shah, Paul, Bhanja, & Dar, 2021), with the corresponding keywords being "oil", "gold", "commodity", "Bitcoin", and "cryptocurrency".…”