Quantifying Spillovers and Connectedness Among Commodities and Cryptocurrencies : Evidence from a Quantile-Var Analysis

This study examines dynamic connectedness linkages between pairs and among different commodities, including precious metals, manufacturing metals, oil, natural gas, and Bitcoin, since the emergence of the cryptocurrency market. The Quantile-VAR methodology is utilised to identify causal spillovers over the period 2015 through 2022, where results demonstrate significantly stronger pairwise connectedness at extreme quantiles, where the gold-silver and copper-oil pairs exhibit the strongest linkages. Additionally, the overall dynamic connectedness is higher at the lowest and highest quantiles, which are reinforced during inflationary periods. Copper is identified as the strongest generator of spillovers, followed by silver, nickel, and zinc. Mixed findings are observed for gold and aluminium, whereas oil, natural gas, and Bitcoin are clearly observed to be net receivers. This study provides insight into the previously unknown aspects of diversifying or hedging abilities in the commodities and cryptocurrency markets during alternative economic and financial conditions