Skip to main content
Top

21-08-2023

Volatility transmissions and connectivity among metal and energy commodities: a network-econometric analysis

Authors: Mathias Schneid Tessmann, Carlos Enrique Carrasco-Gutierrez, Marcelo de Oliveira Passos, Luiz Augusto Magalhães, Régis Augusto Ely

Published in: Journal of Economics and Finance

Log in

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

Abstract

We assessed volatility transmissions that occurred (inter and intra) commodities of metals and energy from October 16, 1998 to October 17, 2018. With a total of 5220 price observations for each commodity, we estimate spillover indexes. We measure such transmissions among twelve commodities and computed the parcels of shock's effects in each pairwise of assets. We also compute how much of these volatilities transmissions was absorbed by each asset in these markets. And using complex network statistics metrics, we describe statistically and graphically these transmissions. Our results pointed that total connectivity is 53% and, through the network analysis, we realize that the greatest interactions occur involving oil and nickel and gold and silver. We confirm the findings of Arouri, et al. (2013) that most precious metals can be a good hedge option in stock portfolios and other assets, especially when there are crises or increased uncertainties in international financial markets. Indeed, we also attested to the conclusion of Papenfuß et al. (2021) that the value of metals was what, among the factors analyzed by them, had a relevant negative effect on the pricing and forecasting. We believe that these evidence are useful for the literatures of financial networks and metallic/energetic commodity markets; as well for investors, risk managers, fund managers, policy makers and metals and energy's producers and buyers.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Footnotes
1
Minor metals are used in: capacitors for consumer electronics (tantalum); metal cathodes for rechargeable batteries (cobalt); photovoltaic solar cells (silicon); and semiconductor materials (gallium and indium).
 
2
Industrial metals (or basic metals) are sold by the metric ton on the London Metal Exchange and the New York Mercantile Exchange. London Metal Exchange trades include copper, aluminum, lead, tin, aluminum alloy, nickel, cobalt and molybdenum.
 
3
Precious metals that are traded in the commodity markets are: gold, platinum, palladium and silver (all sold by the troy ounce).
 
Literature
go back to reference Barabási AL (2002) Linked: the new science of networks. Perseus Books Group, Cambridge Barabási AL (2002) Linked: the new science of networks. Perseus Books Group, Cambridge
go back to reference Chevallier J, Ielpo F (2013) Investigating the leverage effect in commodity markets with a recursive estimation approach. Res Int Bus Finance 39(PB):763–778 (Elsevier) Chevallier J, Ielpo F (2013) Investigating the leverage effect in commodity markets with a recursive estimation approach. Res Int Bus Finance 39(PB):763–778 (Elsevier)
go back to reference Chiale SD, Ferrara L, Gianone D (2017) Common factors of commodity prices. European Central Banking, Working paper N. 2112, nov Chiale SD, Ferrara L, Gianone D (2017) Common factors of commodity prices. European Central Banking, Working paper N. 2112, nov
go back to reference Cuddington JT, Jerrett D (2008) Super cycles in real metals prices?. IMF Staff Papers, Vol. 55, No. 4 Cuddington JT, Jerrett D (2008) Super cycles in real metals prices?. IMF Staff Papers, Vol. 55, No. 4
go back to reference Cuddington JT, Zellou A (2012) Is there evidence of super-cycles in crude oil prices. SPE Econ Manage 4(3):171–181CrossRef Cuddington JT, Zellou A (2012) Is there evidence of super-cycles in crude oil prices. SPE Econ Manage 4(3):171–181CrossRef
go back to reference Dode A, Hasani S (2017) PageRank algorithm. IOSR J Comput Eng (IOSR-JCE) 19(1):01–07 (Ver. III)CrossRef Dode A, Hasani S (2017) PageRank algorithm. IOSR J Comput Eng (IOSR-JCE) 19(1):01–07 (Ver. III)CrossRef
go back to reference Gama J, Carvalho APL, Facelli K et al (2015) Extração de conhecimento de dados – data mining, 2ª. Sílabo, Lisboa Gama J, Carvalho APL, Facelli K et al (2015) Extração de conhecimento de dados – data mining, 2ª. Sílabo, Lisboa
go back to reference Iori G, Mantegna RN (2018) Empirical analyses of networks in finance. Handbook of Computational Economics, Elsevier 4:637–685CrossRef Iori G, Mantegna RN (2018) Empirical analyses of networks in finance. Handbook of Computational Economics, Elsevier 4:637–685CrossRef
go back to reference Jackson MO (2010) Social and economic networks. Princeton University Press, PrincetonCrossRef Jackson MO (2010) Social and economic networks. Princeton University Press, PrincetonCrossRef
go back to reference Kim JH, Candan K, Sapino ML (2016) PageRank revisited: On the relationship between node degrees and node significances in different applications? In: CEUR Workshop Proceedings (Vol. 1558), CEUR-WS Kim JH, Candan K, Sapino ML (2016) PageRank revisited: On the relationship between node degrees and node significances in different applications? In: CEUR Workshop Proceedings (Vol. 1558), CEUR-WS
go back to reference Koop G, Pesaran MH, Potter SM (1996) Impulse response analysis in nonlinear multivariate models. J Econom 74(1):119–147 (Elsevier)CrossRef Koop G, Pesaran MH, Potter SM (1996) Impulse response analysis in nonlinear multivariate models. J Econom 74(1):119–147 (Elsevier)CrossRef
go back to reference Newman MEJ (2006) Modularity and community structure in networks. Proc Natl Acad Sci USA 103(23):8577–8528CrossRef Newman MEJ (2006) Modularity and community structure in networks. Proc Natl Acad Sci USA 103(23):8577–8528CrossRef
go back to reference Passos MO, Tessmann MS, Ely RA, Uhr D et al (2020) Effects of volatility among commodities in the long term: analysis of a complex network. Ann Financial Econ 15(03):2050014CrossRef Passos MO, Tessmann MS, Ely RA, Uhr D et al (2020) Effects of volatility among commodities in the long term: analysis of a complex network. Ann Financial Econ 15(03):2050014CrossRef
go back to reference Pereira JMS (2013) Grafos e redes: teoria e algoritmos básicos. Interciência, Rio de Janeiro Pereira JMS (2013) Grafos e redes: teoria e algoritmos básicos. Interciência, Rio de Janeiro
Metadata
Title
Volatility transmissions and connectivity among metal and energy commodities: a network-econometric analysis
Authors
Mathias Schneid Tessmann
Carlos Enrique Carrasco-Gutierrez
Marcelo de Oliveira Passos
Luiz Augusto Magalhães
Régis Augusto Ely
Publication date
21-08-2023
Publisher
Springer US
Published in
Journal of Economics and Finance
Print ISSN: 1055-0925
Electronic ISSN: 1938-9744
DOI
https://doi.org/10.1007/s12197-023-09644-9