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Is there commodity connectedness across investment horizons? Evidence using news-based uncertainty indices

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  • Jain, Prachi
  • Maitra, Debasish

Abstract

The study examines the uncertainty connectedness among 12 popularly traded commodities for high-, medium and low-frequencies using TVP-VAR parameters. The uncertainty is measured exogenously as a weekly news-based index from January 2000 to May 2021. The frequency decomposed network reveals high and turbulent connectedness at the higher frequency (1-4 weeks) and low and stable connectedness at lower frequencies. The total uncertainty connectedness rises during the periods of crises. The findings are instrumental for policymakers and investors with different horizons of investment.

Suggested Citation

  • Jain, Prachi & Maitra, Debasish, 2023. "Is there commodity connectedness across investment horizons? Evidence using news-based uncertainty indices," Economics Letters, Elsevier, vol. 225(C).
    • Handle: RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000502
    DOI: 10.1016/j.econlet.2023.111025
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    Cited by:

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    2. Xu, Danyang & Hu, Yang & Corbet, Shaen & Goodell, John W., 2023. "Volatility connectedness between global COVOL and major international volatility indices," Finance Research Letters, Elsevier, vol. 56(C).

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    More about this item

    Keywords

    Uncertainty; Oil; Commodities; Connectedness;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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