An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets
构建了互联多层极端风险溢出网络，分析中美商品期货、现货及股票市场间的风险传导，发现商品期货是最大风险输出方，能源市场是跨市场风险桥梁，极端事件加剧风险传播。
ABSTRACT To delve deeper into the risk spillover in the commodity and stock markets, this study proposes an interconnected multilayer extreme risk spillover network using the TVP‐VAR‐DY model, block aggregation technique, and network measures. Specifically, we focus on the interconnectedness among commodity futures, commodity spot markets (iron ore, coal, and crude oil), and stock markets in the US and China. The results confirm that: (i) commodity futures markets are the largest transmitters to other markets at the aggregate level, (ii) energy markets are viewed as a bridge for extreme cross‐market risk spillovers in commodity and stock markets, and (iii) risk contagion between markets is stronger in extreme cases compared to the volatility‐based one, while unexpected events, including trade wars and COVID‐19, exacerbate the risk transmission strength. Our study provides a new perspective on extreme risk contagion in the commodity and stock markets and contributes to risk management in financial markets.