Journal
JOURNAL OF FINANCIAL STABILITY
Volume 54, Issue -, Pages -Publisher
ELSEVIER SCIENCE INC
DOI: 10.1016/j.jfs.2021.100876
Keywords
Commodity prices; Co-movements; Multilayer networks; Climate change; Financial stability
Categories
Funding
- Joint Research Centre (JRC) of the European Commission
- Journal of Financial Stability
- Gabelli School of Business at Fordham University
- Center for Research in Contemporary Finance
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This paper investigates the nexus between climate-related variables, commodity price co-movements and financial stability. It projects commodity price time series onto a multilayer network and introduces an econometric analysis to show the impact of climate-related variables on financial stability. The study reveals how synthetic indicators of commodity price co-movements generate valuable signals to study the relationship between climate-related conditions and the dynamics of financial systems.
This paper investigates the nexus between climate-related variables, commodity price co-movements and financial stability. First, we project the commodity price time series onto a multilayer network. Centrality measures computed on the network are used to detect the existence of common trends between the series and to characterize the role of different nodes during phases of market downturns and upturns, unveiling the onset of financial instability. Then, an econometric analysis is introduced to show how climate-related variables affect financial stability by influencing co-movements of commodity prices. Overall, the paper reveals how synthetic indicators of commodity price co-movements generate valuable signals to study the nexus between climate-related conditions and the dynamics of financial systems. (c) 2021 Elsevier B.V. All rights reserved.
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