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Who are the influencers in the commodity markets during COVID-19?

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  • Khan, Khalid
  • Su, Chi Wei
  • Koseoglu, Sinem Derindere

Abstract

Price volatility caused by the pandemic has caused serious concern in global commodity markets. The quantile connectedness method is used to investigate the net receiving/transmitting role of energy, shipping, metals and commodity markets. The results show dynamic quantile connectedness in the short run in the pre-pandemic. The net directional connectedness result explores that oil prices and commodity markets roles change between transmitting to receiving in the medium to upper quantiles. However, the receiving role is found for both the shipping industry and metals markets in upper quantiles. Similarly, the results of the dynamic connectedness during the COVID-19 display strong connectedness for higher volatility. The net directional connectedness outcomes show that oil prices, shipping and commodity markets have a transmitting/receiving role in the higher quantiles. The net transmitting period is seen more actively than the receiving one during the COVID-19. The policymakers are in need of planning policies while considering the heterogeneous impact of the international oil market on these commodity markets.

Suggested Citation

  • Khan, Khalid & Su, Chi Wei & Koseoglu, Sinem Derindere, 2022. "Who are the influencers in the commodity markets during COVID-19?," Resources Policy, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003002
    DOI: 10.1016/j.resourpol.2022.102854
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    6. Khan, Khalid & Khurshid, Adnan & Cifuentes-Faura, Javier, 2023. "Investigating the relationship between geopolitical risks and economic security: Empirical evidence from central and Eastern European countries," Resources Policy, Elsevier, vol. 85(PA).

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    More about this item

    Keywords

    Energy prices; Shipping industry; Commodity markets; Volatility; Quantile connectedness;
    All these keywords.

    JEL classification:

    • B40 - Schools of Economic Thought and Methodology - - Economic Methodology - - - General
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • L9 - Industrial Organization - - Industry Studies: Transportation and Utilities
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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