Volatility Spillovers among the Major Commodities: A Review

Abstract

The integration of commodities into stock exchanges marked a pivotal moment in the analysis of price dynamics. Commodities are essential for both daily sustenance and industrial processes and are separated into hard commodities, like metals, and soft commodities, such as agricultural produce. This paper provides a review of the relevant literature concerning the implications of commodity price volatility on commercial and financial landscapes, recognizing its profound impact on global economies. Drawing from Google Scholar and Science Direct, we analyze trends in academic publications until 2022, particularly focusing on the interplay between volatility spillover and ten different commodities, providing insights into the evolution of research paradigms over time. In a nutshell, the literature suggests that relationships between hard commodities are stronger since, in addition to being raw materials, they also serve as investment products. For the same reason, relationships between agricultural products appear to be relatively weaker.