Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE Journal of Commodity Markets Pub Date : 2024-01-31 DOI:10.1016/j.jcomm.2024.100385

Nikolaos Kyriazis , Stephanos Papadamou , Panayiotis Tzeremes , Shaen Corbet

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Abstract

This study examines dynamic connectedness linkages between precious metals, manufacturing metals, oil, natural gas, and Bitcoin. The Quantile-VAR methodology is utilised to identify causal spillovers from 2015 through 2022, where results demonstrate significantly stronger pairwise connectedness at extreme quantiles, where the gold–silver and copper–oil pairs exhibit the strongest linkages. Additionally, the overall dynamic connectedness is higher at the lowest and highest quantiles, particularly reinforced during inflationary periods. Copper is identified as the strongest generator of spillovers, followed by silver, nickel, and zinc. There are mixed findings when analysing gold and aluminium, whereas oil, natural gas, and Bitcoin are identified as net receivers. This study provides insight into commodities and cryptocurrency markets’ diversifying and hedging abilities during alternative economic and financial conditions.

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量化商品和加密货币之间的溢出效应和关联性：来自定量VAR分析的证据

本研究探讨了贵金属、制造业金属、石油、天然气和比特币之间的动态关联联系。结果表明，在极端数量级上，成对关联性明显更强，其中黄金-白银和铜-石油成对关联性最强。此外，最低和最高量化值的整体动态关联度更高，在通胀时期尤为明显。铜被认为是溢出效应最强的来源，其次是银、镍和锌。对黄金和铝的分析结果不一，而石油、天然气和比特币被认为是净接受者。这项研究有助于深入了解商品和加密货币市场在其他经济和金融条件下的多样化和对冲能力。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.