Measuring dynamic connectedness networks in energy commodities: evidence from the D‐Y and frequency connectedness approaches

Polat, Onur

doi:10.1111/opec.12188

Cited by 8 publications

(3 citation statements)

References 85 publications

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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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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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“…Shocks to energy prices thus affect agricultural commodities (Furuoka et al, 2023). Polat (2020) posits that significant geopolitical and financial events could have influenced commodity prices. The COVID-19 pandemic, for example, severely disrupted supply and demand, thereby driving up the price of energy commodities.…”

Section: Introductionmentioning

confidence: 99%

The Risk Transfer among Exchange Rates, Energy Commodities, and Agricultural Commodity Prices in SADC Countries

Vuba,

Qabhobho

2024

IJEEP

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This paper investigates the risk transfer between exchange rates, energy commodities, and agricultural commodity prices in SADC nations from July 29, 2007, to December 18, 2022. The Time-varying parameter Vector Autoregression connectivity technique is specifically used. The total connectivity index for the specific network of energy commodities, currency rates, and agricultural commodities is 24.39%. The energy commodities index (crude oil and heating oil) and the ZAR were the largest shock transmitters, according to averaged dynamic connectedness. In contrast, two SADC currency markets (MWK and MZN), natural gas, and corn were net shock recipients. Furthermore, overall connection indices were shown to change dramatically with high sensitivity to crisis events, particularly the 2007/2008 crisis and the COVID-19 pandemic. As indicated by net directional connection, most energy commodities, as well as the Rand and the Pula, were persistent net transmitters over time. This is especially noteworthy given oil's direct impact on agricultural commodities. The findings of this paper are useful for policymakers who are attempting to maximize public benefit. Policymakers charged with developing policies for economically vulnerable segments of the population should use these findings to examine the potential impact of changes in energy prices on food and currency markets.

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“…Their results reveal that connectedness typically forms at low frequencies, with volatility shocks across markets having long-lasting effects. Polat (2020) and Lin and Su (2021) demonstrate varying connectedness in energy commodities linked to the Covid-19 period but cover only the early stage of the pandemic. Wei et al (2022) bring evidence of the information connectedness of international crude oil futures.…”

Section: Introductionmentioning

confidence: 99%

Frequency volatility connectedness and portfolio hedging of U.S. energy commodities

Kočenda,

Moravcová

2024

Research in International Business and Finance

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Measuring dynamic connectedness networks in energy commodities: evidence from the D‐Y and frequency connectedness approaches

Cited by 8 publications

References 85 publications

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

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

The Risk Transfer among Exchange Rates, Energy Commodities, and Agricultural Commodity Prices in SADC Countries

Frequency volatility connectedness and portfolio hedging of U.S. energy commodities

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