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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA20-11769S" target="_blank" >GA20-11769S: Finanční sítě: výzkum vztahů mezi finančními trhy na základě metodiky sítí</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Resources Policy

ISSN

0301-4207

e-ISSN

—

Svazek periodika

74

Číslo periodika v rámci svazku

12

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

14

Strana od-do

1-14

Kód UT WoS článku

000700368100082

EID výsledku v databázi Scopus

2-s2.0-85113493368