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• W2885203629 startingPage "101239" @default.
• W2885203629 abstract "This paper documents a dramatic change in the nature of connectedness in global commodity prices following the 2008 global financial crisis. We show that co-dependence in price-changes among seven major commodity classes goes from a pre-crisis average of 14.82% to a strikingly larger average of 47.87% in the period following the crisis, and which has endured until now. Dynamic swings in price co-movements of such a scale present a clear concern for financial investors and are of immediate interest to a wider policy-maker audience. Of particular interest is the empirical behavior of the food commodity price index, whose contribution to the system dynamics rises from less than 20% in the period up to 2008, to more than 80% after. To dispel any concern that these finding may be method-specific, we demonstrate their invariance to modeling procedure by providing analogous-results using a pairwise Granger causality analysis, as well as different sub-sampling choices." @default.
• W2885203629 created "2018-08-22" @default.
• W2885203629 creator A5050809806 @default.
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• W2885203629 date "2020-03-01" @default.
• W2885203629 modified "2023-10-16" @default.
• W2885203629 title "Global financial crisis and rising connectedness in the international commodity markets" @default.
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• W2885203629 doi "https://doi.org/10.1016/j.irfa.2018.08.003" @default.
• W2885203629 hasPublicationYear "2020" @default.
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