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Multiscale extreme risk spillover between shipping and commodity markets: An analysis based on GARCH-Copula-CoVaR

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Listed:
  • Bei, Honghan
  • Wang, Qian
  • Yan, Xiaoxiao
  • Geng, Xinpeng

Abstract

The acceleration of global trade has intensified the exchange of information across shipping and commodity markets. This study employs a GARCH-Copula-CoVaR framework to rigorously analyse the dependence and extreme risk spillover dynamics between key shipping market and both the aggregate commodity market as well as its sub-sectors, adopting a multi-scale analytical approach. Our empirical analysis identifies notable bidirectional risk spillovers between the shipping and commodity sectors, particularly during periods of market downturns. The energy sector exhibits heightened sensitivities to risk, while the precious metals market stands out for its capacity for risk mitigation. The study also integrates the impact of geopolitical risks, offering a multi-scale understanding of inter-market correlations. It quantifies the risk spillover effects and explores the underlying transmission mechanisms, thereby enhancing comprehension of the complex spillover phenomena linking shipping and commodity markets.

Suggested Citation

  • Bei, Honghan & Wang, Qian & Yan, Xiaoxiao & Geng, Xinpeng, 2025. "Multiscale extreme risk spillover between shipping and commodity markets: An analysis based on GARCH-Copula-CoVaR," Energy Economics, Elsevier, vol. 148(C).
    • Handle: RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325003883
    DOI: 10.1016/j.eneco.2025.108564
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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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