Time‐varying pure contagion effect between energy and nonenergy commodity markets
结合卡尔曼滤波和时变参数向量自回归模型，研究能源与非能源（工业金属、贵金属、农产品）大宗商品市场间的纯传染效应，发现能源是主要价格传导者，且金融化加剧了传染的频率和危害。
Abstract This paper combines the Kalman filtering technique and the time‐varying parameter vector autoregression model with stochastic volatility model to explore pure contagion effects between energy and nonenergy (i.e., industrial metals, precious metals, and agricultural) commodity markets. Empirical results show the significant pure contagion effects between energy and industrial metals markets in most periods, while pure contagion effects between energy and precious metals and agricultural markets occur only in a few specific periods. Comparing the level of pure contagion effects between different commodity markets, energy is still the main price transmitter. In addition, with the acceleration of the global commodity market financialization process, the frequency and harm of pure contagion effects are gradually increasing. Notably, the COVID‐19 pandemic is emerging as another major crisis after the global financial crisis, exacerbating the pure contagion effects between energy and precious metals and agricultural markets.