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Effects Of Volatility Among Commodities In The Long Term: Analysis Of A Complex Network

Author

Listed:
  • MARCELO DE OLIVEIRA PASSOS

    (Post Graduate Program in Organizations and Markets - UFPel, Brazil)

  • MATHIAS SCHNEID TESSMANN

    (#x2020;School of Management, Economics and Business - IDP, Brazil)

  • RÉGIS AUGUSTO ELY

    (Post Graduate Program in Organizations and Markets - UFPel, Brazil)

  • DANIEL UHR

    (Post Graduate Program in Organizations and Markets - UFPel, Brazil)

  • MÁRCIO TACELI TAVEIRA

    (Post Graduate Program in Organizations and Markets - UFPel, Brazil)

Abstract

The large inflow of investment capital in critical periods sparked a debate about the extent to which these speculative bubbles affect asset volatility and how (and what extent) these volatilities are transmitted between them. In periods of greater uncertainty, commodity futures markets may receive and/or send two types of volatility spillovers: intergroup of assets and/or intragroup of assets. We tested for the period from March 3, 2000 to May 4, 2017, which of the two effects prevailed and in which group of assets was more intense. We concluded that the most relevant volatility transmission effects (measured by Diebold–Yilmaz indices) occurred intragroup of assets — corn, wheat, soy, oats and rice. These assets make up the main cluster of a commodities complex network. Thus, we detected and measured using network approach that the most significant effects was over the years of the Great Recession (2007–2009) and the peak of the European Sovereign Debt Crisis (2010–2012).

Suggested Citation

  • Marcelo De Oliveira Passos & Mathias Schneid Tessmann & Régis Augusto Ely & Daniel Uhr & Márcio Taceli Taveira, 2020. "Effects Of Volatility Among Commodities In The Long Term: Analysis Of A Complex Network," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-16, September.
    • Handle: RePEc:wsi:afexxx:v:15:y:2020:i:03:n:s2010495220500141
    DOI: 10.1142/S2010495220500141
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