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Multiscale information transmission between commodity markets: An EMD-Based transfer entropy network

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  • Liu, Chang
  • Sun, Xiaolei
  • Wang, Jun
  • Li, Jianping
  • Chen, Jianming

Abstract

In the context of the growing financialisation of commodity markets, debate on how they interact with each other has returned to centre stage. The main motivation of this study is to research the price interactions of international commodities from the perspective of information transmission by proposing an innovative transfer entropy network based on empirical mode decomposition. We also identify core commodities with the strongest transmission intensity in information transmission networks at different time scales. The empirical results demonstrate that the network transmission structure and core varieties change based on the time scale. In the short term, metals have the strongest transmission intensity, whereas, in the medium and long term, the energy sector has the strongest transmission intensity. These findings should allow regulators and market participants to better understand the essential characteristics and internal structures of international commodity markets.

Suggested Citation

  • Liu, Chang & Sun, Xiaolei & Wang, Jun & Li, Jianping & Chen, Jianming, 2021. "Multiscale information transmission between commodity markets: An EMD-Based transfer entropy network," Research in International Business and Finance, Elsevier, vol. 55(C).
    • Handle: RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920302002
    DOI: 10.1016/j.ribaf.2020.101318
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