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Shipping as a risk transmitter: Dynamic connectedness between freight markets and commodities under trade uncertainty

Author

Listed:
  • Zhang, Shiruo
  • Chang, Yiqing
  • Jiao, Yuhan
  • Yin, Xiaoyan

Abstract

As shipping and commodity trade become more closely connected, cross-market risk transmission mechanisms have emerged as a key factor influencing global supply chain stability. This paper investigates the risk transmission pathways between shipping prices and commodity prices. Using monthly data from January 2015 to September 2025, it selects three major shipping indices—BDI, SCFI, and BDTI—and three commodity indices covering energy, industrial metals, and agricultural products. A hybrid TVP-VAR and QVAR framework is employed to systematically analyze the dynamic features of risk transmission. The results show: (1) Risk spillovers between shipping and commodity markets display significant time-varying behavior. During the COVID-19 pandemic, the total spillover index reached 0.4058, with BDI and SCFI acting as net risk exporters; (2) The strength of risk transmission varies with market conditions, with shocks in high-volatility states being 2.95 times more impactful than in low-volatility states; (3) Transmission pathways differ across market segments, forming distinct risk channels between dry bulk and industrial metals, and between tanker and energy markets. This research offers a theoretical basis for identifying cross-market risk sources and developing targeted prevention and control strategies.

Suggested Citation

  • Zhang, Shiruo & Chang, Yiqing & Jiao, Yuhan & Yin, Xiaoyan, 2026. "Shipping as a risk transmitter: Dynamic connectedness between freight markets and commodities under trade uncertainty," Transport Policy, Elsevier, vol. 183(C).
    • Handle: RePEc:eee:trapol:v:183:y:2026:i:c:s0967070x26001514
    DOI: 10.1016/j.tranpol.2026.104141
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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