Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities

Farid, Saqib; Naeem, Muhammad Abubakr; Paltrinieri, Andrea; Nepal, Rabindra

doi:10.1016/j.eneco.2022.105962

Cited by 99 publications

(32 citation statements)

References 82 publications

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“…The global public health risk remains very high. In addition, threats and shocks to the energy, metal and carbon markets are more pronounced due to the quarantine measures, restriction on transaction, lockdown orders at the domestic and global level( Farid et al, 2022 ). The outbreak has influenced policy-making and expectations of investors, altering and increasing the connectedness among markets.…”

Section: Empirical Results and Discussionmentioning

confidence: 99%

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

Jiang

Chen

2022

Resources Policy

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Section: Empirical Results and Discussionmentioning

confidence: 99%

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

Jiang

Chen

2022

Resources Policy

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“…With respect to the evolution of the fossil fuel and metal markets during COVID-19, Cunado et al (2021) analyze the connectedness between fossil fuel, precious and industrial metals markets during COVID-19 and find an increase in the connectedness across the markets during the pandemic. Farid et al (2022) explore the quantile dependence between energy, metal and agriculture commodities during COVID-19 and find evidence of a stronger transmission pattern between these markets at the tails.…”

Section: Literature Reviewmentioning

confidence: 99%

COVID-19 and the quantile connectedness between energy and metal markets

et al. 2023

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“…At the beginning of 2020, the global outbreak of the COVID-19 epidemic has aroused widespread concern and attention in academia and practice. Cross-market and cross-industry contagion of financial risks under the impact of the COVID-19 epidemic has become a new research hotspot, such as financial risks contagion between commodity markets and stock markets ( 18 – 20 ), financial risks contagion among commodity markets ( 21 , 22 ), and financial risks contagion between foreign exchange markets and commodity futures markets ( 23 , 24 ). In addition, the cross-border contagion of financial risks under the impact of the COVID-19 epidemic is also an important area for many scholars to carry out research.…”

Section: Literature Reviewmentioning

confidence: 99%

The impact of the COVID-19 pandemic on the global dynamic spillover of financial market risk

Tan

Wang

et al. 2022

Front. Public Health

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The COVID-19 outbreak has greatly impacted the stability of the global financial markets. In the post-COVID-19 pandemic era, the risk contagion patterns of the global financial markets may change. This paper utilizes the conditional value-at-risk (ΔCoVaR) model to measure the risk level of the financial markets in various economies and uses the TVP-VAR-CONNECTEDNESS approach to construct a time-varying spillover index. Based on the dimensions of time and space, we explored the contagion path, contagion status, and contagion structure characteristics of global financial market risk before and during the COVID-19 pandemic. The results entail several conclusions. (i) The COVID-19 pandemic increased the spillover level of global financial market risk and the risk connectedness of financial markets in different countries. In addition, during the concentrated outbreak period of COVID-19, the risk spillover level in developing countries rose rapidly, while the financial risk spillover level in developed countries decreased significantly. (ii) The impact of the COVID-19 pandemic on the spillover of the global financial market risk is time-varying, and there is a strong correlation between the risk spillover level of the financial markets of the world and the severity of the COVID-19 pandemic. (iii) Due to the impact of the COVID-19 pandemic, Brazil, Canada, and Russia have become new risk spillover centers; in the post-COVID-19 pandemic era, China's spillover to developed countries has increased, and the financial influence of China has also gradually increased. In addition, the risk contagion capacity of financial markets among European countries is gradually converging. (iv) During the concentrated outbreak of the COVID-19 pandemic, the Americas were the main exporter of global financial market risk, while Europe played a role in risk absorption.

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Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities

Cited by 99 publications

References 82 publications

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

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

COVID-19 and the quantile connectedness between energy and metal markets

The impact of the COVID-19 pandemic on the global dynamic spillover of financial market risk

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