Extreme downside risk co-movement in commodity markets during distress periods. A Multidimensional scaling approach
We analyze the co-movement of a number of commodity markets in extreme financial episodes worldwide. More specifically, we provide extreme downside risk comovement maps of these markets during six recent distress periods. We follow an expected shortfall-multidimensional scaling approach, which allow...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2020 |
| País: | España |
| Institución: | Universidad de Castilla-La Mancha |
| Repositorio: | RUIdeRA. Repositorio Institucional de la UCLM |
| OAI Identifier: | oai:ruidera.uclm.es:10578/40509 |
| Acceso en línea: | https://www.tandfonline.com/doi/abs/10.1080/1351847X.2020.1724171 https://hdl.handle.net/10578/40509 |
| Access Level: | acceso abierto |
| Palabra clave: | Commodity markets Co-movement Expected shortfall Extreme downside risk co-movement map Multidimensional scaling |
| Sumario: | We analyze the co-movement of a number of commodity markets in extreme financial episodes worldwide. More specifically, we provide extreme downside risk comovement maps of these markets during six recent distress periods. We follow an expected shortfall-multidimensional scaling approach, which allows for an easy classification of markets according to their dynamics in risky episodes. No clear risk comovement patterns are observed, nor spillover effects are detected. Financialization and speculation might have played some role in the dynamics of price and risk only in food commodity markets during the oil price increase 2007–2008. |
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