Risk Contagion between Global Commodities from the Perspective of Volatility Spillover

Hong Shen, Qi Pan, Lili Zhao, Pin Ng

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


Prices of oil and other commodities have fluctuated wildly since the outbreak of the COVID-19 pandemic. It is crucial to explore the causes of price fluctuations and understand the source and path of risk contagion to better mitigate systemic risk and maintain economic stability. The paper adopts the method of network topology to examine the path of risk contagion between China’s and foreign commodities, focusing on the dynamic evolution and transmission mechanism of risk contagion during the pandemic. This research found that among China’s commodities, energy, grain, and textiles are net recipients of risk contagion, while chemical products and metals are net risk exporters. Among international commodities, industries have positive risk spillover effects on metals and textiles. During the first phase of the pandemic, China’s commodities were the main exporters of risk contagion. However, international industries and metals became the main risk exporters and exerted risk spillover on China’s commodities in the second phase of the pandemic. Moreover, based on total volatility spillover index of commodities, the risk contagion among the commodities follows three paths: “interest rate → commodities → money supply”, “China’s economic expectation → commodities → foreign economic expectation”, and “commodities → consumer confidence”.

Original languageEnglish (US)
Article number2492
Issue number7
StatePublished - Apr 1 2022


  • COVID-19
  • commodities
  • risk contagion
  • volatility spillover

ASJC Scopus subject areas

  • Control and Optimization
  • Energy (miscellaneous)
  • Engineering (miscellaneous)
  • Energy Engineering and Power Technology
  • Electrical and Electronic Engineering
  • Fuel Technology
  • Renewable Energy, Sustainability and the Environment


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