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Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks

Author

Listed:
  • Rabeh Khalfaoui

    (ICN Business School)

  • Eduard Baumöhl
  • Suleman Sarwar
  • Tomáš Výrost

Abstract

The worldwide economy has experienced several changes in energy and nonenergy prices. This has motivated academics, investors, and policymakers to analyze the relationships between energy and nonenergy commodity markets. In this study, a novel approach of quantile coherency is used to examine the dependence structure between energy and nonenergy commodity pairs at different frequencies and quantiles in their joint return distribution over the period 1960:M1–2019:M10. Overall, the empirical findings illustrate evidence of a low significant dependency between energy and nonenergy commodity markets across different frequencies and quantiles. In addition, our findings show that some nonenergy commodity markets have a neutral relationship with global energy commodity markets.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Rabeh Khalfaoui & Eduard Baumöhl & Suleman Sarwar & Tomáš Výrost, 2021. "Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks," Post-Print hal-03797575, HAL.
    • Handle: RePEc:hal:journl:hal-03797575
    DOI: 10.1016/j.resourpol.2021.102318
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    JEL classification:

    • Q1 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • P28 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - Natural Resources; Environment

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