Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?
نویسندگان
چکیده
In this paper we investigate cross-commodity futures markets connectedness over different nearest-to-maturities. We thus implement time and time-frequency estimations for two constructed baskets of commodities, classified based on common delivery months. Using daily data spanning the period 1995–2020, provide a set stylized facts extent to which commodity are integrated or segmented. More specifically, our results show that total is broadly insensitive maturity. However, after 2008 financial crisis, among prices increases when maturity increases. Furthermore, overall amplifies during crises periods compared tranquil periods. Moreover, certain pairwise comparatively highly linked such as crude oil heating oil, wheat corn, corn soybean, soybean oil. The also demonstrate net transmitters all across maturities, while natural gas, gold, receivers maturities. interestingly, frequency decomposition reveals most high driven mostly by components, may indicate process information rapidly, except COVID-19 crisis where has been lower components.
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ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2022
ISSN: ['1873-8079', '1057-5219']
DOI: https://doi.org/10.1016/j.irfa.2022.102190