Volatility Contagion and Connectedness between WTI and Commodity Markets

This article analyzes the contagion risk between WTI crude oil prices and several major commodities markets. We study the dynamics of commodity connectedness and we measure volatility contagion under various market conditions, financial crises, and commodity price cycles over the long-term (from 1982 to 2020). Our results show that the intensity, speed and duration of contagion vary across periods according to various macroeconomic factors. Our findings have significant implications for optimal portfolio strategies and market regulation to insure against potential losses inherent to volatility transmission across international markets