期刊
RESOURCES POLICY
卷 73, 期 -, 页码 -出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.resourpol.2021.102164
关键词
Covid-19; Commodity; Coronavirus panic index; Volatility; Wavelet coherence phase-difference; Coherence; Phase difference; Causality; Co-movements; Leads and lags; Hedge strategies; Resources policy; Regime switching
资金
- FCT, I.P.
- Portuguese national funding agency for science, research and technology [UIDB/04521/2020]
- Instituto Politecnico de Lisboa
Wavelet analyses were used to examine the impact of the Covid pandemic on commodity price volatility, revealing intervals of low, medium, and high coherence between the coronavirus panic index and commodity price movements. Differences in observed patterns across commodity categories were documented, highlighting their potential role in designing cross-assets hedge strategies based on commodity investments.
We apply wavelet analyses to study how the Covid pandemic influenced the volatility of commodity prices, covering various classes of commodities. We document the intervals of low, medium, and high coherence between the coronavirus panic index and the moves of the commodity prices. The low coherence intervals indicate the diversification potential of commodity investments during a systemic pandemic such as Covid-19. We document differences in the observed patterns per commodity category and evidence their potential role for designing cross-assets hedge strategies based on investments in commodities.
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