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

Author

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  • Cui, Jinxin
  • Maghyereh, Aktham

Abstract

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.

Suggested Citation

  • Cui, Jinxin & Maghyereh, Aktham, 2024. "Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress," Journal of Commodity Markets, Elsevier, vol. 33(C).
    • Handle: RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000703
    DOI: 10.1016/j.jcomm.2023.100380
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    Keywords

    Higher-order moment spillovers; Quantile-VAR extended joint connectedness; Geopolitical risks; Systemic financial stress; Commodity futures;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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