Risk Contagion between Global Commodities from the Perspective of Volatility Spillover
<p>The total volatility spillover of the rolling sample. Notes: (1) The top figure is based on the logarithmic yield and the bottom figure is based on VaR; the length of the forecast is 10 days and the rolling window is 200 days. (2) Event (<b>1</b>): In August 2008, the international financial crisis began to lose control, and many large financial institutions closed or were supervised by the government; Event (<b>2</b>): On 11 March 2011, a magnitude 9.0 earthquake and tsunami occurred in Japan; Event (<b>3</b>): On 10 February 2015, international metals prices plunged 7.2% during the flash crash of the stock markets; Event (<b>4</b>): In August 2015, a major stock market crash in China occurred; Event (<b>5</b>): In June 2016, UK Brexit referendum was approved; Event (<b>6</b>): On 31 August 2018, China’s domestic food prices increased by 25.2% daily; Event (<b>7</b>): In March 2020, the World Health Organization declared COVID-19 outbreak a pandemic.</p> "> Figure 2
<p>The “OUT” total directional volatility spillover of the rolling sample.</p> "> Figure 3
<p>The “IN” directional volatility spillover diagram of rolling samples.</p> "> Figure 4
<p>The net volatility spillover diagram of rolling samples.</p> "> Figure 5
<p>Thermal diagram of the directional volatility spillover between commodities. Note: Take the variable “A_B” as an example, if the color is green, A is the risk exporter while B is the risk recipient; if the color is red, B is the risk exporter and A is the risk recipient.</p> "> Figure 6
<p>Net volatility spillover network diagrams for the three periods. Notes: (1) The larger the node, the greater the “out-degree” of the variety in risk contagion; (2) the orange line represents that the international variety is the risk exporter, and the blue line represents that the Chinese variety is the risk exporter; (3) return’s net volatility spillover network is based on the part where the net volatility spillover index is greater than 2; the net volatility spillover network diagram of VaR is based on the part where the net volatility spillover index is greater than 5; (4) Panels (<b>a</b>)–(<b>c</b>) are the network diagrams based on Return while (<b>d</b>)–(<b>f</b>) are based on VaR.</p> "> Figure 7
<p>The risk contagion mechanism.</p> ">
Abstract
:1. Introduction
2. Literature Review
3. Research Method and Data Description
3.1. Construction of Risk Spillover Index
3.2. Data Description
4. Empirical Analysis
4.1. Static Analysis of Volatility Spillover
4.2. Dynamic Analysis of Volatility Spillover
4.3. Dynamic Evolution of Risk Contagion during the COVID-19 Pandemic
4.4. Analysis of the Risk Contagion Mechanism
5. Conclusions
Author Contributions
Funding
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
References
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China | International | ||||||||
---|---|---|---|---|---|---|---|---|---|
CFCI Textiles | CFCI Metals | CFCI Chemical Products | CFCI Grain | CFCI Energy | CRB Textiles | CRB Industrials | CRB Metals | CRB Food | |
Average | −0.008 | 0.015 | −0.001 | 0.020 | 0.019 | 0.007 | 0.015 | 0.029 | 0.014 |
Median | 0.011 | 0.031 | 0.027 | 0.014 | 0.042 | 0.000 | 0.018 | 0.029 | 0.009 |
Maximum | 14.544 | 7.018 | 9.667 | 22.457 | 8.175 | 9.934 | 4.966 | 12.788 | 3.782 |
Minimum | −12.850 | −5.348 | −8.574 | −23.871 | −8.597 | −9.486 | −4.459 | −10.140 | −9.434 |
Standard deviation | 1.106 | 1.282 | 1.476 | 1.068 | 1.476 | 0.528 | 0.524 | 1.058 | 0.736 |
Skewness | 0.211 | −0.115 | −0.147 | 1.564 | −0.300 | 0.175 | −0.334 | −0.110 | −0.842 |
Kurtosis | 25.080 | 5.679 | 5.407 | 179.598 | 6.118 | 68.314 | 15.311 | 20.908 | 13.644 |
JB | 73,278 *** | 1086.6 *** | 883.2 *** | 4,687,304 *** | 1514.8 *** | 640,965 *** | 22,840 *** | 48,192 *** | 17,448 *** |
ADF | −42.3 *** | −40.1 *** | −39.6 *** | −49.3 *** | −41.3 *** | −43.5 *** | −38.6 *** | −40.8 *** | −39.5 *** |
Variety | CFCI Textiles | CFCI Metals | CFCI Chemical Products | CFCI Grain | CFCI Energy | CRB Textiles | CRB Industrials | CRB Metals | CRB Food | IN |
---|---|---|---|---|---|---|---|---|---|---|
CFCI Textiles | 53.2 | 8.6 | 19.44 | 2.61 | 5.1 | 4.68 | 3.33 | 1.85 | 1.19 | 46.8 |
CFCI Metals | 7 | 43.56 | 16.92 | 2.65 | 12.48 | 1.43 | 6.79 | 7.54 | 1.63 | 56.44 |
CFCI Chemical Products | 15.71 | 16.76 | 43.01 | 3.15 | 10.82 | 1.61 | 3.95 | 3.76 | 1.23 | 56.99 |
CFCI Grain | 3.69 | 4.54 | 5.45 | 76.21 | 3.21 | 0.89 | 1.96 | 1.53 | 2.52 | 23.79 |
CFCI Energy | 5.05 | 15.65 | 13.43 | 2.37 | 53.31 | 1.16 | 3.56 | 3.61 | 1.87 | 46.69 |
CRB Textiles | 3.59 | 1.27 | 1.52 | 0.6 | 0.61 | 69.92 | 16.2 | 2.71 | 3.59 | 30.08 |
CRB Industrials | 2.04 | 5.26 | 3.39 | 1.12 | 2.35 | 9.74 | 42 | 30.64 | 3.46 | 58 |
CRB Metals | 1.3 | 6.44 | 3.71 | 0.94 | 2.66 | 1.83 | 34.16 | 46.57 | 2.39 | 53.43 |
CRB Food | 1.04 | 1.42 | 1.49 | 2.27 | 0.87 | 4.05 | 5.65 | 3.85 | 79.37 | 20.63 |
OUT | 39.43 | 59.93 | 65.34 | 15.71 | 38.09 | 25.37 | 75.6 | 55.5 | 17.88 | 392.85 |
Column Total | 92.63 | 103.48 | 108.34 | 91.93 | 91.4 | 95.29 | 117.6 | 102.07 | 97.25 | 43.70% |
Variety | CFCI Textiles | CFCI Metals | CFCI Chemical Products | CFCI Grain | CFCI Energy | CRB Textiles | CRB Industrials | CRB Metals | CRB Food | TNSIN |
---|---|---|---|---|---|---|---|---|---|---|
CFCI Textiles | 0 | 1.6 | 3.73 | −1.08 | 0.05 | 1.09 | 1.29 | 0.55 | 0.15 | 7.38 |
CFCI Metals | −1.6 | 0 | 0.16 | −1.89 | −3.17 | 0.16 | 1.53 | 1.1 | 0.21 | −3.5 |
CFCI Chemical Products | −3.73 | −0.16 | 0 | −2.3 | −2.61 | 0.09 | 0.56 | 0.05 | −0.26 | −8.36 |
CFCI Grain | 1.08 | 1.89 | 2.3 | 0 | 0.84 | 0.29 | 0.84 | 0.59 | 0.25 | 8.08 |
CFCI Energy | −0.05 | 3.17 | 2.61 | −0.84 | 0 | 0.55 | 1.21 | 0.95 | 1 | 8.6 |
CRB Textiles | −1.09 | −0.16 | −0.09 | −0.29 | −0.55 | 0 | 6.46 | 0.88 | −0.46 | 4.7 |
CRB Industrials | −1.29 | −1.53 | −0.56 | −0.84 | −1.21 | −6.46 | 0 | −3.52 | −2.19 | −17.6 |
CRB Metals | −0.55 | −1.1 | −0.05 | −0.59 | −0.95 | −0.88 | 3.52 | 0 | −1.46 | −2.06 |
CRB Food | −0.15 | −0.21 | 0.26 | −0.25 | −1 | 0.46 | 2.19 | 1.46 | 0 | 2.76 |
TNSOUT | −7.38 | 3.5 | 8.36 | −8.08 | −8.6 | −4.7 | 17.6 | 2.06 | −2.76 | 0 |
Panel A: Phase 1. | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Variety | CFCI Textiles | CFCI Metals | CFCI Chemical Products | CFCI Grain | CFCI Energy | CRB Textiles | CRB Industrials | CRB Metals | CRB Food | TNSIN | |
CFCI Textiles | VaR Return | 0.00 0.00 | −2.01 −1.57 | −17.7 0.77 | 2.07 0.32 | −12.93 −1.23 | 13.61 1.18 | 6.27 1.17 | 2.76 0.45 | −0.41 −0.45 | −8.34 0.64 |
CFCI Metals | VaR Return | 2.01 1.57 | 0.00 0.00 | 9.67 2.38 | −0.21 1.30 | −1.99 0.35 | 1.93 0.34 | 1.00 0.92 | −0.31 0.21 | −1.50 0.97 | 10.6 8.04 |
CFCI Chemical Products | VaR Return | 17.70 −0.77 | −9.67 −2.38 | 0.00 0.00 | −0.33 −0.59 | −6.58 −1.33 | 1.54 −1.47 | 0.14 −0.82 | 0.04 −1.69 | −3.50 0.43 | −0.66 −8.62 |
CFCI Grain | VaR Return | −2.07 −0.32 | 0.21 −1.30 | 0.33 0.59 | 0.00 0.00 | −0.69 −1.31 | −1.30 1.19 | −1.02 0.24 | 3.88 2.79 | −9.24 −2.84 | −9.9 −0.96 |
CFCI Energy | VaR Return | 12.93 1.23 | 1.99 −0.35 | 6.58 1.33 | 0.69 1.31 | 0.00 0.00 | 6.23 −0.13 | 3.76 1.16 | −4.78 0.20 | −6.13 1.83 | 21.27 6.58 |
CRB Textiles | VaR Return | −13.61 −1.18 | −1.93 −0.34 | −1.54 1.47 | 1.30 −1.19 | −6.23 0.13 | 0.00 0.00 | 5.12 7.05 | −3.71 1.58 | −4.61 −0.54 | −25.21 6.98 |
CRB Industrials | VaR Return | −6.27 −1.17 | −1.00 −0.92 | −0.14 0.82 | 1.02 −0.24 | −3.76 −1.16 | −5.12 −7.05 | 0.00 0.00 | 5.51 −3.96 | 0.84 −0.18 | −8.92 −13.86 |
CRB Metals | VaR Return | −2.76 −0.45 | 0.31 −0.21 | −0.04 1.69 | −3.88 −2.79 | 4.78 −0.20 | 3.71 −1.58 | −5.51 3.96 | 0.00 0.00 | 9.39 0.53 | 6.00 0.95 |
CRB Food | VaR Return | 0.41 0.45 | 1.5 −0.97 | 3.5 −0.43 | 9.24 2.84 | 6.13 −1.83 | 4.61 0.54 | −0.84 0.18 | −9.39 −0.53 | 0.00 0.00 | 15.16 0.25 |
TNSOUT | VaR Return | 8.34 −0.64 | −10.6 −8.04 | 0.66 8.62 | 9.90 0.96 | −21.27 −6.58 | 25.21 −6.98 | 8.92 13.86 | −6.00 −0.95 | −15.16 −0.25 | 0.00 0.00 |
Panel B: Phase 2 | |||||||||||
Variety | CFCI Textiles | CFCI Metals | CFCI Chemical Products | CFCI Grain | CFCI Energy | CRB Textiles | CRB Industrials | CRB Metals | CRB Food | TNSIN | |
CFCI Textiles | VaR Return | 0.00 0.00 | −9.90 −3.23 | −6.95 −1.25 | −4.21 −4.06 | −16.13 −6.37 | 0.90 −0.37 | −16.08 1.12 | −8.90 −0.40 | −10.18 −2.33 | −71.45 −17.99 |
CFCI Metals | VaR Return | 9.90 3.23 | 0.00 0.00 | 3.66 2.28 | −10.94 −4.40 | −8.30 −1.99 | −4.74 −2.74 | −8.70 1.05 | −8.21 0.02 | 1.79 −9.77 | −25.54 −12.32 |
CFCI Chemical Products | VaR Return | 6.95 1.25 | −3.66 −2.28 | 0.00 0.00 | −3.13 −4.43 | −7.56 −4.87 | 1.44 −0.90 | −14.77 −0.90 | −9.79 −1.17 | −6.47 −1.34 | −36.99 −14.64 |
CFCI Grain | VaR Return | 4.21 4.06 | 10.94 4.40 | 3.13 4.43 | 0.00 0.00 | −0.20 2.93 | 0.70 3.58 | 4.89 5.62 | 4.27 6.43 | 1.08 −3.35 | 29.02 28.10 |
CFCI Energy | VaR Return | 16.13 6.37 | 8.30 1.99 | 7.56 4.87 | 0.20 −2.93 | 0.00 0.00 | −0.98 0.64 | 2.29 0.58 | −0.71 −0.34 | 5.92 −4.72 | 38.71 6.46 |
CRB Textiles | VaR Return | −0.9 0.37 | 4.74 2.74 | −1.44 0.90 | −0.70 −3.58 | 0.98 −0.64 | 0.00 0.00 | 2.13 2.59 | −0.91 1.13 | 11.62 −6.57 | 15.52 −3.06 |
CRB Industrials | VaR Return | 16.08 −0.02 | 8.70 −1.05 | 14.77 0.90 | −4.89 −5.62 | −2.29 −0.58 | −2.13 −2.59 | 0.00 0.00 | −13.85 0.44 | 8.66 −2.92 | 25.05 −11.44 |
CRB Metals | VaR Return | 8.90 0.40 | 8.21 −0.02 | 9.79 1.17 | −4.27 −6.43 | 0.71 0.34 | 0.91 −1.13 | 13.85 −0.44 | 0.00 0.00 | 5.70 −1.11 | 43.8 −7.22 |
CRB Food | VaR Return | 10.18 2.33 | −1.79 9.77 | 6.47 1.34 | −1.08 3.35 | −5.92 4.72 | −11.62 6.57 | −8.66 2.92 | −5.70 1.11 | 0.00 0.00 | −18.12 32.11 |
TNSOUT | VaR Return | 71.45 17.99 | 25.54 12.32 | 36.99 14.64 | −29.02 −28.10 | −38.71 −6.46 | −15.52 3.06 | −25.05 11.44 | −43.8 7.22 | 18.12 −32.11 | 0.00 0.00 |
Panel C: Phase 3 | |||||||||||
Variety | CFCI Textiles | CFCI Metals | CFCI Chemical Products | CFCI Grain | CFCI Energy | CRB Textiles | CRB Industrials | CRB Metals | CRB Food | TNSIN | |
CFCI Textiles | VaR Return | 0.00 0.00 | 4.17 −1.26 | 2.86 0.57 | −0.89 −2.75 | −6.36 −2.46 | 1.03 −0.38 | 10.14 2.54 | 9.66 2.04 | −4.53 1.00 | 16.08 −0.70 |
CFCI Metals | VaR Return | −4.17 1.26 | 0.00 0.00 | −4.77 0.69 | −4.67 −1.75 | −3.19 0.36 | 5.54 2.29 | 8.25 3.01 | 0.87 2.76 | −2.19 −1.07 | −4.33 7.55 |
CFCI Chemical Products | VaR Return | −2.86 −0.57 | 4.77 −0.69 | 0.00 0.00 | −0.67 −2.99 | −5.64 −1.24 | 0.23 −0.98 | 7.69 0.63 | 6.95 0.78 | −4.05 0.15 | 6.42 −4.91 |
CFCI Grain | VaR Return | 0.89 2.75 | 4.67 1.75 | 0.67 2.99 | 0.00 0.00 | 1.02 1.82 | 1.25 0.54 | −2.44 2.12 | −1.01 0.63 | 1.56 1.41 | 6.61 14.01 |
CFCI Energy | VaR Return | 6.36 2.46 | 3.19 −0.36 | 5.64 1.24 | −1.02 −1.82 | 0.00 0.00 | −6.16 −4.82 | 0.84 −0.90 | 2.01 −0.73 | 1.84 −2.68 | 12.7 −7.61 |
CRB Textiles | VaR Return | −1.03 0.38 | −5.54 −2.29 | −0.23 0.98 | −1.25 −0.52 | 6.16 4.82 | 0.00 0.00 | 1.16 2.44 | −4.55 3.40 | 14.41 −0.44 | 9.13 8.75 |
CRB Industrials | VaR Return | −10.14 −2.54 | −8.25 −3.10 | −7.69 −0.63 | 2.44 −2.12 | −0.84 0.90 | −1.16 −2.44 | 0.00 0.00 | −4.00 −4.59 | −3.77 0.47 | −33.41 −13.96 |
CRB Metals | VaR Return | −9.66 −2.04 | −0.87 −2.76 | −6.95 −0.78 | 1.01 −0.63 | −2.01 0.73 | 4.55 −3.40 | 4.00 4.59 | 0.00 0.00 | −2.84 −0.38 | −12.77 −4.67 |
CRB Food | VaR Return | 4.53 −1.00 | 2.19 1.07 | 4.05 −0.15 | −1.56 −1.41 | −1.84 2.68 | −14.41 0.44 | 3.77 −0.47 | 2.84 0.38 | 0.00 0.00 | −0.43 1.54 |
TNSOUT | VaR Return | −16.08 0.70 | 4.33 −7.55 | −6.42 4.91 | −6.61 −14.01 | −12.7 7.61 | −9.13 −8.75 | 33.41 13.96 | 12.77 4.67 | 0.43 −1.54 | 0.00 0.00 |
Index –Return | Index –VaR | LIBOR | FFR | SHIBOR | AM2 | CM2 | CPMI | APMI | CCCI | ACCI | |
---|---|---|---|---|---|---|---|---|---|---|---|
Average | 51.07 | 49.49 | 1.07 | 1.02 | 2.33 | 0.07 | 0.14 | 50.47 | 52.98 | 109.68 | 82.45 |
Median | 49.15 | 46.91 | 0.24 | 0.18 | 2.28 | 0.06 | 0.13 | 50.50 | 52.90 | 107.80 | 82.50 |
Maximum | 67.65 | 77.46 | 6.88 | 5.41 | 13.83 | 0.27 | 0.30 | 52.30 | 64.70 | 127.00 | 101.40 |
Minimum | 38.84 | 34.37 | 0.05 | 0.04 | 0.68 | 0.02 | 0.08 | 42.50 | 33.10 | 97.00 | 55.30 |
Standard deviation | 7.21 | 9.47 | 1.50 | 1.46 | 0.91 | 0.05 | 0.05 | 1.21 | 5.22 | 8.15 | 12.33 |
Skewness | 0.49 | 1.04 | 1.79 | 1.81 | 2.07 | 2.68 | 1.17 | −3.36 | −1.20 | 0.59 | −0.30 |
Kurtosis | 2.09 | 3.50 | 5.24 | 5.36 | 16.90 | 10.04 | 4.34 | 22.10 | 5.60 | 2.19 | 2.05 |
Variables | Based on Index–Return z-Statistic | Based on Index–Risk z-Statistic | ||
---|---|---|---|---|
LIBOR | 48.65 *** | 5.82 *** | 48.72 *** | 15.13 *** |
FFR | 33.83 *** | 5.77 *** | 32.48 *** | 15.26 *** |
SHIBOR | 30.7 *** | 5.68 *** | 30.62 *** | 15.37 *** |
AM2 | 3.92 *** | 5.30 *** | 4.96 *** | 2.20 ** |
CM2 | 2.01 ** | 5.06 *** | 1.38 | 2.11 ** |
CPMI | 7.89 *** | 1.9 * | 7.59 *** | 1.72 * |
APMI | 1.52 | 1.65 | 1.9 * | 1.56 |
CCCI | 0.19 | 4.84 *** | −0.31 | 2.19 ** |
ACCI | 0.17 | 4.69 *** | −0.11 | 2.09 ** |
Interest Rate and Risk Spillover | Monetary Supply and Risk Spillover | Economic Expectations and Risk Spillover | Investor Confidence and Risk Spillover |
---|---|---|---|
Index(Return) FFR | Index(Return) CM2 | Index(Return) APMI | Index(Return) ACCI |
Index(VaR) FFR | Index(VaR) CM2 | Index(VaR) APMI | Index(VaR) ACCI |
Index(Return) LIBOR | Index(Return) AM2 | Index(Return) CPMI | Index(Return) CCCI |
Index(VaR) LIBOR | Index(VaR) AM2 | Index(VaR) CPMI | Index(VaR) CCCI |
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Shen, H.; Pan, Q.; Zhao, L.; Ng, P. Risk Contagion between Global Commodities from the Perspective of Volatility Spillover. Energies 2022, 15, 2492. https://doi.org/10.3390/en15072492
Shen H, Pan Q, Zhao L, Ng P. Risk Contagion between Global Commodities from the Perspective of Volatility Spillover. Energies. 2022; 15(7):2492. https://doi.org/10.3390/en15072492
Chicago/Turabian StyleShen, Hong, Qi Pan, Lili Zhao, and Pin Ng. 2022. "Risk Contagion between Global Commodities from the Perspective of Volatility Spillover" Energies 15, no. 7: 2492. https://doi.org/10.3390/en15072492