Arbeitspapier
Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks
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 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.
- Sprache
-
Englisch
- Klassifikation
-
Wirtschaft
Commodity Markets
Socialist Systems and Transitional Economies: Natural Resources; Energy; Environment
- Thema
-
Energy
Nonenergy
Quantile coherency
Network analysis
Dependence
Commodity markets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Khalfaoui, Rabeh
Baumöhl, Eduard
Sarwar, Suleman
Výrost, Tomáš
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Leibniz Information Centre for Economics
- (wo)
-
Kiel, Hamburg
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Khalfaoui, Rabeh
- Baumöhl, Eduard
- Sarwar, Suleman
- Výrost, Tomáš
- ZBW - Leibniz Information Centre for Economics
Entstanden
- 2021
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