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Network approach to the dynamic transformation characteristics of the joint impacts of gold and oil on copper

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  • Li, Yu
  • Gao, Xiangyun
  • An, Sufang
  • Zheng, Huiling
  • Wu, Tao

Abstract

Previous studies often established econometric models to investigate the long-term relationship between the copper price and other commodity prices, but these models ignored the dynamic transformation characteristics of these relationships. This paper examines the dynamic transformation characteristics of the joint impacts of gold and oil on the copper log-return. We employed the joint impact transformation network based on the multiple regression model and the sliding time window approach. The results indicate that ‘NN’ (gold and oil both have no impact on the copper log-return), ‘N+Y’ (gold has no impact on the copper log-return and oil has a positive impact on the copper log-return) and ‘+YN’ (gold has a positive impact on the copper log-return and oil has no impact on the copper log-return) are the three most common joint impact modes over the entire time. ‘-Y+Y’ (gold has a negative impact on the copper log-return and oil has a positive impact on the copper log-return) and ‘-Y-Y’ (gold and oil both have a negative impact on the copper log-return) are the two joint impact modes that may emerge in the deepest period of economic turmoil. The joint impact modes have a tendency to transform to the modes transformed into them in a period when the economy is relatively stable or fluctuating due to financial factors. However, this trend becomes less evident when the economic fluctuations are subject to national policies. Our research not only provides a process orientation to explore the characteristics of the dynamic transformation of the relationship between commodity prices but also offers important implications for stakeholders to make decisions.

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  • Li, Yu & Gao, Xiangyun & An, Sufang & Zheng, Huiling & Wu, Tao, 2021. "Network approach to the dynamic transformation characteristics of the joint impacts of gold and oil on copper," Resources Policy, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309958
    DOI: 10.1016/j.resourpol.2020.101967
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