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Volatility Spillovers among the Major Commodities: A Review

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  • Konstantinos D. Melas

    (Faculty of Business and Economics, Metropolitan College, 541 24 Thessaloniki, Greece
    Department of Economics, University of Western Macedonia, 521 00 Kastoria, Greece
    Department of Economics, University of Macedonia, 546 36 Thessaloniki, Greece)

  • Anastasia Faitatzoglou

    (Faculty of Business and Economics, Metropolitan College, 541 24 Thessaloniki, Greece)

  • Nektarios A. Michail

    (Economic Analysis and Research Department, Central Bank of Cyprus & School of Economics and Business, Cyprus University of Technology, Limassol 3036, Cyprus)

  • Anastasia Artemiou

    (Faculty of Business and Economics, Metropolitan College, 541 24 Thessaloniki, Greece)

Abstract

The integration of commodities into stock exchanges marked a pivotal moment in the analysis of price dynamics. Commodities are essential for both daily sustenance and industrial processes and are separated into hard commodities, like metals, and soft commodities, such as agricultural produce. This paper provides a review of the relevant literature concerning the implications of commodity price volatility on commercial and financial landscapes, recognizing its profound impact on global economies. Drawing from Google Scholar and Science Direct, we analyze trends in academic publications until 2022, particularly focusing on the interplay between volatility spillover and ten different commodities, providing insights into the evolution of research paradigms over time. In a nutshell, the literature suggests that relationships between hard commodities are stronger since, in addition to being raw materials, they also serve as investment products. For the same reason, relationships between agricultural products appear to be relatively weaker.

Suggested Citation

  • Konstantinos D. Melas & Anastasia Faitatzoglou & Nektarios A. Michail & Anastasia Artemiou, 2024. "Volatility Spillovers among the Major Commodities: A Review," JRFM, MDPI, vol. 17(8), pages 1-36, August.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:8:p:365-:d:1457211
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    References listed on IDEAS

    as
    1. Jonathan A. Batten & Cetin Ciner & Brian M. Lucey, 2015. "Which precious metals spill over on which, when and why? Some evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 22(6), pages 466-473, April.
    2. Sanjay Sehgal & Namita Rajput & Florent Deisting, 2013. "Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(3), pages 57-75.
    3. Libo Yin & Liyan Han, 2013. "Exogenous Shocks and Information Transmission in Global Copper Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(8), pages 724-751, August.
    4. Beckmann, Joscha & Czudaj, Robert, 2014. "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, vol. 36(C), pages 541-546.
    5. Yang, Cai & Niu, Zibo & Gao, Wang, 2022. "The time-varying effects of trade policy uncertainty and geopolitical risks shocks on the commodity market prices: Evidence from the TVP-VAR-SV approach," Resources Policy, Elsevier, vol. 76(C).
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