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Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis

Author

Listed:
  • Albrecht, Peter
  • Kočenda, Evžen
  • de Oliveira, Alexandre Silva
  • Ceretta, Paulo Sergio
  • Drábek, Michal

Abstract

We comprehensively analyze return connectedness among commodity currencies and commodities from 2010 to 2023. Our findings reveal iron, coal, and the Australian dollar as return transmitters to other currencies and commodities, particularly during economic downturns. By employing quantile analysis, we identify commodity currencies as net spillover receivers during periods of extreme economic turbulence. Additionally, we employ a novel testing bootstrap-after-bootstrap procedure and present the first statistically grounded evidence that endogenously identified specific shocks are behind increases in connectedness and correspond to systematic events in commodity markets. We find twelve endogenously chosen events corresponding to an escalation in return connectedness within a maximum of one business month following the event's occurrence. We also show that connectedness is linked to measures of uncertainty and liquidity that produce distinct impacts. Importantly, our results remain robust across various measures and carry significant implications for portfolio construction and risk management strategies.

Suggested Citation

  • Albrecht, Peter & Kočenda, Evžen & de Oliveira, Alexandre Silva & Ceretta, Paulo Sergio & Drábek, Michal, 2025. "Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis," Research in International Business and Finance, Elsevier, vol. 75(C).
  • Handle: RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000376
    DOI: 10.1016/j.ribaf.2025.102781
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    Keywords

    Return connectedness; Commodities; Commodity currencies; Return spillovers;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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