| bibtype |
J -
Journal Article
|
| ARLID |
0645792 |
| utime |
20260224164318.1 |
| mtime |
20260209235959.9 |
| SCOPUS |
85216757133 |
| WOS |
001422979100001 |
| DOI |
10.1016/j.ribaf.2025.102781 |
| title
(primary) (eng) |
Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis |
| specification |
| page_count |
18 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0627238 |
| ISSN |
0275-5319 |
| title
|
Research in International Business and Finance |
| volume_id |
75 |
|
| keyword |
Return connectedness |
| keyword |
Commodities |
| keyword |
Commodity currencies |
| keyword |
Return spillovers |
| author
(primary) |
| ARLID |
cav_un_auth*0503621 |
| name1 |
Albrecht |
| name2 |
P. |
| country |
CZ |
| garant |
K |
|
| author
|
| ARLID |
cav_un_auth*0312139 |
| name1 |
Kočenda |
| name2 |
Evžen |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0503622 |
| name1 |
Oliveira |
| name2 |
A. S. |
| country |
BR |
|
| author
|
| ARLID |
cav_un_auth*0503623 |
| name1 |
Ceretta |
| name2 |
P. S. |
| country |
BR |
|
| author
|
| ARLID |
cav_un_auth*0022137 |
| name1 |
Drábek |
| name2 |
M. |
| country |
CZ |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GA23-06606S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0458718 |
|
| abstract
(eng) |
We comprehensively analyze return connectedness among commodity currencies and commodities from 2010 to 2023. Our findings reveal iron, coal, and the Australian dollar as return transmitters to other currencies and commodities, particularly during economic downturns. By employing quantile analysis, we identify commodity currencies as net spillover receivers during periods of extreme economic turbulence. Additionally, we employ a novel testing bootstrap-after-bootstrap procedure and present the first statistically grounded evidence that endogenously identified specific shocks are behind increases in connectedness and correspond to systematic events in commodity markets. We find twelve endogenously chosen events corresponding to an escalation in return connectedness within a maximum of one business month following the event’s occurrence. We also show that connectedness is linked to measures of uncertainty and liquidity that produce distinct impacts. Importantly, our results remain robust across various measures and carry significant implications for portfolio construction and risk management strategies. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2026 |
| num_of_auth |
5 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0375767 |
| cooperation |
| ARLID |
cav_un_auth*0503328 |
| name |
Mendel University in Brno, Faculty of Business and Economics |
| institution |
Mendel Univ. |
| country |
CZ |
|
| cooperation |
| ARLID |
cav_un_auth*0503329 |
| name |
Federal University of Pampa, Alegrete |
| institution |
UNIPAMPA |
| country |
BR |
|
| cooperation |
| ARLID |
cav_un_auth*0475476 |
| name |
Federal University of Santa Maria |
| institution |
UFSM |
| country |
BR |
|
| cooperation |
| ARLID |
cav_un_auth*0503330 |
| name |
CESifo |
| institution |
CESifo |
| country |
DE |
|
| cooperation |
| ARLID |
cav_un_auth*0503331 |
| name |
IOS, Regensburg |
| institution |
IOS |
| country |
DE |
|
| cooperation |
| ARLID |
cav_un_auth*0327879 |
| name |
Institute of Economic Studies, Charles University |
| institution |
IES, CUNI |
| country |
CZ |
|
| confidential |
S |
| article_num |
102781 |
| mrcbC91 |
C |
| mrcbT16-e |
BUSINESS.FINANCE |
| mrcbT16-f |
6.6 |
| mrcbT16-g |
1.7 |
| mrcbT16-h |
3.4 |
| mrcbT16-i |
0.00837 |
| mrcbT16-j |
0.974 |
| mrcbT16-k |
10182 |
| mrcbT16-q |
86 |
| mrcbT16-s |
1.415 |
| mrcbT16-y |
68.81 |
| mrcbT16-x |
8.64 |
| mrcbT16-3 |
5818 |
| mrcbT16-4 |
Q1 |
| mrcbT16-5 |
5.800 |
| mrcbT16-6 |
436 |
| mrcbT16-7 |
Q1 |
| mrcbT16-C |
95.2 |
| mrcbT16-M |
1.91 |
| mrcbT16-N |
Q1 |
| mrcbT16-P |
95.2 |
| arlyear |
2025 |
| mrcbU14 |
85216757133 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
001422979100001 WOS |
| mrcbU63 |
cav_un_epca*0627238 Research in International Business and Finance 75 1 2025 0275-5319 1878-3384 |
|