Total, quantile, and frequency risk transmission among metal commodities
研究了铜、金、铅、银、锌五种金属在2002年至2023年间的风险传导，发现总关联指数随时间变化，受极端冲击影响更大，短期传导受经济政策不确定性和地缘政治风险驱动，中长期仅受地缘政治风险影响。
Abstract This study investigates the total, quantile, and frequency risk transmission among five widely traded metals namely copper, gold, lead, silver, and zinc using forecast error variance decomposition. The analysis spans from 1 January 2002, to 30 June 2023. Our findings reveal that the total connectedness index (TCI) changed over time, indicating sensitivity to time‐specific developments and major events during different periods. The TCI is influenced more by extreme positive or negative shocks, as the lower and upper quantile TCIs are higher compared to the medium quantile TCI. Furthermore, the short‐term TCIs exhibit higher values than the medium‐ and long‐term TCIs. These variations imply that the TCI is influenced by different types of shocks or mechanisms across different quantiles. Specifically, the short‐term TCIs are driven by global economic policy uncertainty, real global economic activity, and the geopolitical risk index (GPR). However, the medium‐ and long‐term TCIs are solely influenced by the GPR.