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Asymmetric time-frequency risk spillovers between the Fourth Industrial Revolution assets and commodity futures: Is economic policy uncertainty a driving factor?

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  • Su, Xianfang
  • Zhao, Yachao

Abstract

This study examines the asymmetric time-frequency risk spillovers between the Fourth Industrial Revolution assets and commodity futures by utilizing a time-varying parameter vector autoregressive connectedness approach. The results indicate that financial technology stocks, artificial intelligence stocks, and blockchain stocks are net transmitters of spillovers in relation to energy, metal, and agriculture futures. Moreover, the spillover effect is asymmetric, with spillovers triggered by bad news dominating those sourced from good news. Also, risk spillovers are exceedingly intense in the short term in comparison with the medium term and long term. Further dynamic analyses show that the outbreak of the COVID-19 pandemic and the Russia-Ukraine conflict substantially enhanced risk spillovers. Finally, this study finds that economic policy uncertainty has a significantly positive impact on the asymmetric time-frequency spillover effects, indicating its role as a driving factor of spillover effects. These findings have great significance for investors and policymakers.

Suggested Citation

  • Su, Xianfang & Zhao, Yachao, 2025. "Asymmetric time-frequency risk spillovers between the Fourth Industrial Revolution assets and commodity futures: Is economic policy uncertainty a driving factor?," Global Finance Journal, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:glofin:v:64:y:2025:i:c:s1044028325000031
    DOI: 10.1016/j.gfj.2025.101076
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