Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F25%3A00645792" target="_blank" >RIV/67985556:_____/25:00645792 - isvavai.cz</a>
Alternative codes found
RIV/62156489:43110/25:43926533 RIV/00216208:11230/25:10511000
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0275531925000376?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0275531925000376?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ribaf.2025.102781" target="_blank" >10.1016/j.ribaf.2025.102781</a>

Result language
angličtina
Original language name
Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis
Original language description
We comprehensively analyze return connectedness among commodity currencies and commodities from 2010 to 2023. Our findings reveal iron, coal, and the Australian dollar as return transmitters to other currencies and commodities, particularly during economic downturns. By employing quantile analysis, we identify commodity currencies as net spillover receivers during periods of extreme economic turbulence. Additionally, we employ a novel testing bootstrap-after-bootstrap procedure and present the first statistically grounded evidence that endogenously identified specific shocks are behind increases in connectedness and correspond to systematic events in commodity markets. We find twelve endogenously chosen events corresponding to an escalation in return connectedness within a maximum of one business month following the event’s occurrence. We also show that connectedness is linked to measures of uncertainty and liquidity that produce distinct impacts. Importantly, our results remain robust across various measures and carry significant implications for portfolio construction and risk management strategies.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA23-06606S" target="_blank" >GA23-06606S: Deep dive into decentralized finance: Market microstructure, and behavioral and psychological patterns</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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