Market responses to spillovers in the energy commodity markets: Evaluating short-term vs. long-term effects and business-as-usual vs. distressed phases
研究了能源商品系统中上下游商品之间的溢出效应，发现上游原材料是主要净溢出者，能源危机期间系统关联性更强，且大部分溢出在两天内被吸收。
We study how market spillovers propagate within a comprehensive system of energy commodities by employing spillover analysis in the time and frequency domains. Raw materials dominate the system’s connectedness, behaving as net transmitters of spillovers. However, the dynamic analysis shows that downstream commodities may also act as net transmitters but only in a few short phases. Importantly, relevant energy market episodes generate more substantial spillovers, while lower system connectedness is observed during events primarily affecting other sectors. Our main findings are substantially invariant to a series of robustness checks. These results also hold when analyzing the distribution’s tails in a quantile framework that we introduce to study distressed periods. Finally, we examine a broad frequency spectrum and find high efficiency in this system, with substantial spillovers absorbed in less than two days for all commodities. • We study connectedness in a system of upstream and downstream energy commodities. • Upstream commodities usually display the highest net spillovers. • Stronger connectedness is generated throughout energy crises. • The quantile analysis shows significant differences for extreme percentiles. • Regulators should mitigate short-term spillovers by improving supply security.