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Commodity Connectedness / Francis X. Diebold, Laura Liu, Kamil Yilmaz.
- Format:
- Book
- Author/Creator:
- Diebold, Francis X.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w23685.
- NBER working paper series no. w23685
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2017.
- Summary:
- We use variance decompositions from high-dimensional vector autoregressions to characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study both static (full-sample) and dynamic (rolling-sample) connectedness. We summarize and visualize the results using tools from network analysis. The results reveal clear clustering of commodities into groups that match traditional industry groupings, but with some notable differences. The energy sector is most important in terms of sending shocks to others, and energy, industrial metals, and precious metals are themselves tightly connected.
- Notes:
- Print version record
- August 2017.
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