The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels

Resources Policy. 2021. No. 73. P. 1–11.

Umar Z., Gubareva M., Teplova T.

We apply wavelet analyses to study how the Covid pandemic influenced the volatility of commodity prices, covering various classes of commodities. We document the intervals of low, medium, and high coherence between the coronavirus panic index and the moves of the commodity prices. The low coherence intervals indicate the diversification potential of commodity investments during a systemic pandemic such as Covid-19. We document differences in the observed patterns per commodity category and evidence their potential role for designing cross-assets hedge strategies based on investments in commodities. 

Keywords: волатильность, товарные рынки, causality, coherence, когерентность, причинность, volatility, regime switching, переключение режимов, commodity, Ковид-19, Hedge strategies, co-movements, стратегии хеджирования, взаимосвязанные изменения, Coronavirus panic index, Wavelet coherence phase-difference, Phase difference, Leads and lags, Resources policy, индекс паники, связанный с коронавирусом, разность фаз вейвлет-когерентности, разность фаз, опережения и лаги, политика в отношении ресурсов, COVID-19

Publication based on the results of: Specifics of investing in emerging markets (2021)