Publication details

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

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Authors

KHALFAOUI R. BAUMÖHL Eduard SARWAR S. VÝROST Tomáš

Year of publication 2021
Type Article in Periodical
Magazine / Source Resources Policy
MU Faculty or unit

Faculty of Economics and Administration

Citation
Web https://www.sciencedirect.com/science/article/abs/pii/S0301420721003287
Doi http://dx.doi.org/10.1016/j.resourpol.2021.102318
Keywords Energy; Nonenergy; Quantile coherency; Network analysis; Dependence; Commodity markets
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Description 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.
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