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Time and frequency volatility spillovers among commodities: Evidence from pre and during the Russia‑Ukraine war
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Autores
Orientador(es)
Resumo(s)
This paper studies the volatility spillovers among commodities in both magnitude and
timescale before and after the Russia-Ukraine war. We adopt the Diebold and Yilmaz
(Int J Forecast 28:57–66, 2012) and the Baruník and Křehlík (J Financ Economet
16:271–296, 2018) method based the 15-min trading data. The results show that the
war increases total volatility spillover from 35.54% to 49.00%. Although total spillover is the largest within a day, net spillovers of some commodities are stronger in long
term. More importantly, the war increases the importance of precious metals, oil &
fats, crops, and agricultural products in different time–frequency domains. The volatility spillover of precious metals as safe-haven assets within one week increases the
most. The role of the oil & fats sector changes from a net receiver to a risk transmitter. Meanwhile, crops and agricultural products sectors dominate the overall spillover in the long-term during the ongoing war period. Furthermore, the time-varying
results suggest that the impact of the war is durable in the long term.
Descrição
Palavras-chave
Russia-Ukraine War Commodity Volatility Spillovers
Contexto Educativo
Citação
Chen, Yunfei, Wei Jiang (2024). "Time and frequency volatility spillovers among commodities: Evidence from pre and during the Russia‑Ukraine war". Portuguese Economic Journal, 23(2):249-273
Editora
Springer