Spillover Effects of Global Commodities Under VIX Shocks: Evidence From Dynamic Quantile Network Model
该研究使用动态分位数网络模型分析VIX冲击对全球大宗商品市场的溢出效应，发现商品价格在极端市场下表现出显著的非对称溢出，有助于理解系统性风险传导，为投资者和政策制定者提供参考。
ABSTRACT Amid intensifying global economic uncertainty, commodity markets have become a sensitive indicator of economic vitality. This study first employs the LASSO‐VAR‐DY model to build a spillover matrix and then uses a dynamic quantile network econometric model to analyze the impact of VIX shocks on global commodity markets. Results show that commodities display significant volatility and inter‐category differences. The VIX index triggers pronounced asymmetric spillover effects, more so in extreme markets. Global commodity prices are spatially linked, with stronger spillover effects during price increases or violent market fluctuations. The impact of commodities' own lags also exhibits significant quantile heterogeneity. These findings enhance macro‐level understanding of systemic risk transmission in commodity markets, help reduce market uncertainty and maintain financial stability, and offer theoretical support for investors and policymakers.