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

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/62156489:43110/25:43926533 RIV/00216208:11230/25:10511000

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA23-06606S" target="_blank" >GA23-06606S: Do hlubin decentralizovaných financí: Tržní mikrostruktura, behaviorální a psychologické vzorce</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2025

Kód důvěrnosti údajů

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

Název periodika

Research in International Business and Finance

ISSN

0275-5319

e-ISSN

1878-3384

Svazek periodika

75

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

18

Strana od-do

102781

Kód UT WoS článku

001422979100001

EID výsledku v databázi Scopus

2-s2.0-85216757133