Connectedness and risk spillover in China's commodity futures sectors
研究了中国商品期货板块在2016年至2021年间的关联性和风险溢出，发现化工板块是主要风险驱动者，且经济政策不确定性和投资者情绪显著影响整体关联性，对政策制定者和投资者有参考价值。
Abstract This study employs minimum spanning tree and generalized forecast error variance decomposition methods to investigate the connectedness and risk spillovers across China's commodity sectors from January 2016 to December 2021. The results show that total connectedness within the commodity system is time varying. Chemical is the main risk driver, while other sectors occasionally dominate the system. These two methods achieve consistent results in identifying the systemically important sector and dynamic connectedness. In addition, we find that Chinese economic policy uncertainty and the investor sentiment index have significant impacts on total connectedness. Our findings have implications for preventing systemic risk for policymakers and managing commodity portfolio risk for investors.