이례적 위기가 국제상품시장 간 연계성에 미치는 영향

This article uses the methodology of Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) to analyze the static and dynamic connectedness between international markets for energy, industrial metals, and precious metals from the global financial crisis to the recent Russia-Ukraine war. The main results of this article are as follows. First, the connectedness between commodity markets was greater during the crisis periods than during the non-crisis periods, and in particular, the COVID-19 Pandemic strengthened the connectedness between commodity markets more than the global financial crisis or the Russia-Ukraine war. Second, the static spillover effect showed that copper was the main net transmitter of volatility, but the dynamic spillover effect and net pairwise connectedness analysis showed that volatility spillover from Brent crude oil to other commodities was the most prominent. Third, natural gas was a net receiver of volatility and had the lowest connectedness with other commodities. Therefore, in a commodity market portfolio, natural gas may serve as a safe haven, like gold in the financial market. Fourth, the connectedness between the markets of energy and precious metals, excluding natural gas, during the Russia-Ukraine war was found to have decreased compared to the Pandemic period, but increased compared to the entire sample period and the global financial crisis period. Fifth, the connectedness between commodities within each commodity group of energy, industrial metals, and precious metals, excluding natural gas, was found to be greater than the connectedness between different types of commodities. These results provide meaningful implications for commodity market portfolio management and risk management.