Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F21%3A00119316" target="_blank" >RIV/00216224:14560/21:00119316 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/abs/pii/S0301420721003287" target="_blank" >https://www.sciencedirect.com/science/article/abs/pii/S0301420721003287</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.resourpol.2021.102318" target="_blank" >10.1016/j.resourpol.2021.102318</a>
Alternative languages
Result language
angličtina
Original language name
Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA20-11769S" target="_blank" >GA20-11769S: Financial Networks: Examining Financial Markets Linkages using Network Approach</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Resources Policy
ISSN
0301-4207
e-ISSN
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Volume of the periodical
74
Issue of the periodical within the volume
12
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
14
Pages from-to
1-14
UT code for WoS article
000700368100082
EID of the result in the Scopus database
2-s2.0-85113493368