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Price contagion and risk spillover in the global commodities market: COVID-19 pandemic vs. global financial crisis

Author

Listed:
  • Kamal, Md Mostafa
  • Roca, Eduardo
  • Li, Bin
  • Lin, Chen
  • Reza, Rajibur

Abstract

Utilizing cross-correlation-based Planar Maximally Filtered Graph, and conditional Value-at-Risk-based extreme risk spillover network approaches, we analyze the structure and dynamics of price contagion and risk transmission between different commodity groups in the global commodity futures market during the Global Financial Crisis (GFC) and different phases of the COVID-19 pandemic. As expected, owing to the fundamental differences between the two crises, we find very divergent commodity network structures and non-identical direction of risk transmission between commodities in these two crises. Gold and silver, however, continued to play their role of risk transmitters based on several factors, including the severity of the economic or political crisis, prevailing market sentiment, and the distinctive attributes of the affected asset classes in both crisis—right at the beginning of the GFC but towards the latter part of the COVID19 crisis.

Suggested Citation

  • Kamal, Md Mostafa & Roca, Eduardo & Li, Bin & Lin, Chen & Reza, Rajibur, 2025. "Price contagion and risk spillover in the global commodities market: COVID-19 pandemic vs. global financial crisis," Resources Policy, Elsevier, vol. 103(C).
    • Handle: RePEc:eee:jrpoli:v:103:y:2025:i:c:s0301420725000959
    DOI: 10.1016/j.resourpol.2025.105553
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    More about this item

    Keywords

    COVID-19 pandemic; Commodity futures; PMFG; Spillover risk;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation

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