Multi-scale systemic risk and spillover networks of commodity markets in the bullish and bearish regimes |
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| Institution: | 1. Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman;2. Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam;3. School of Economics, University of Nottingham Malaysia, Semenyih, Malaysia;5. Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Viet Nam;6. PNU Business School, Pusan National University, Jangjeon2-Dong, Geumjeong-Gu, Busan 609-735, Republic of Korea;1. School of Business, Central South University, Changsha 410083, China;2. Supply Chain and Logistics Optimization Research Centre, Faculty of Engineering, University of Windsor, Windsor, ON, Canada;3. College of Mathematics and Statistics, Changsha University of Science and Technology, Hunan 410114, China;4. Jack H. Brown College of Business and Public Administration, California State University, San Bernardino, USA;5. Institute of Computer Information Processing and Application, Hunan Institute of Technology, Hengyang 421001, China |
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| Abstract: | This paper proposes a new network topology approach based on the STVAR model to identify asymmetric impacts of market conditions on multi-scale systemic risk spillovers of commodity markets. The results show that bearish market conditions enlarge low-frequency systemic risk spillovers in commodity markets, and bullish market conditions have more striking impacts on high-frequency systemic risk spillovers. Furthermore, the center of risk spillover networks varies across the market conditions and frequencies. Specifically, at the high-frequency level, sugar is the largest risk transmitter in bad regimes, and heating oil is in the center of the network in good regimes. At the intermediate frequency level, soybean becomes a more important risk transmitter in both regimes. In other cases, heating oil is the center of risk spillover networks. |
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| Keywords: | Commodity market Wavelet packet decomposition CoVaR STVAR Spillover network |
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