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<p>Globalization, financialization, and energy transition have fundamentally altered commodity markets. Risk spillovers and systemic shocks are amplified, which constructs a multi-layer time-varying frequency network. The network integrates various analytical methods. These include time-varying parameter vector autoregression models. We examine energy, agricultural, and metal commodity markets. The research period spans from 2008 to 2025. Analysis is segmented into short-term, medium-term, and long-term frequency bands. Findings indicate long-term spillovers dominate during crisis periods. The COVID-19 exemplifies this pattern. Short-term spillovers respond more sensitively to temporary shocks. This is evident during the Russia-Ukraine conflict. Crude oil functions as the primary short-term risk transmitter. Copper serves as the main long-term risk transmitter. Gold maintains its role as a safe-haven asset. Sugar exhibits the fastest short-term contagion. Silver dominates in the medium term. Copper exerts the strongest long-term impact. This research emphasizes the frequency heterogeneity of risk spillovers. It provides frequency-specific risk management insights for investors.</p>

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Exploring the connectedness and risk spillover in the energy, agriculture, and metal commodity markets: evidence from multilayer time-varying frequency networks

  • 期刊论文

  • 发表日期：

    2026年2月18日

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  • Ran Wu

摘要

Globalization, financialization, and energy transition have fundamentally altered commodity markets. Risk spillovers and systemic shocks are amplified, which constructs a multi-layer time-varying frequency network. The network integrates various analytical methods. These include time-varying parameter vector autoregression models. We examine energy, agricultural, and metal commodity markets. The research period spans from 2008 to 2025. Analysis is segmented into short-term, medium-term, and long-term frequency bands. Findings indicate long-term spillovers dominate during crisis periods. The COVID-19 exemplifies this pattern. Short-term spillovers respond more sensitively to temporary shocks. This is evident during the Russia-Ukraine conflict. Crude oil functions as the primary short-term risk transmitter. Copper serves as the main long-term risk transmitter. Gold maintains its role as a safe-haven asset. Sugar exhibits the fastest short-term contagion. Silver dominates in the medium term. Copper exerts the strongest long-term impact. This research emphasizes the frequency heterogeneity of risk spillovers. It provides frequency-specific risk management insights for investors.