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Quantile connectedness of the Chinese commodity sectors

Author

Listed:
  • Jun Long
  • Xianghui Yuan
  • Chencheng Zhao
  • Liwei Jin

Abstract

This article employs the QVAR model to investigate the return spillovers of China’s commodity sectors. Our results show that the total connectedness in extreme markets is significantly higher and increases as the size of the shock increases. Livestock has changed from a risk contributor to a risk recipient due to the low or even negative tail correlation in extreme markets. These findings can help prevent systemic risks for policymakers and re-optimize the portfolios to reduce tail losses for investors in extreme markets.

Suggested Citation

  • Jun Long & Xianghui Yuan & Chencheng Zhao & Liwei Jin, 2025. "Quantile connectedness of the Chinese commodity sectors," Applied Economics Letters, Taylor & Francis Journals, vol. 32(6), pages 744-750, March.
    • Handle: RePEc:taf:apeclt:v:32:y:2025:i:6:p:744-750
    DOI: 10.1080/13504851.2023.2289385
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