In this study, we examine the impact of global economic indicators on connectedness spillovers among energy, metal, and grain commodity markets. Global economic indicators directly create a transmission channel to commodity markets by reflecting financial and trade fluctuations worldwide. Especially in tail regions, basic commodities such as energy, metal, and grain are affected by economic uncertainties, oil supply-demand, and economic policy uncertainty shocks. In particular, Copper emerges as the main net transmitter of shocks in both short- and long-term periods, while oil and gas prices are net shock receivers in the median and extreme right tail regions. This finding strengthens the narrative of the demand-side mechanism of oil prices. On the other hand, Copper and Nickel are clear shock transmitters in tail regions. These results emphasize the interconnectedness of commodity markets and the importance of short-term dynamics in shaping market behavior during downturns and upturns in market conditions. However, economic policy uncertainty significantly attenuates spillover connectedness across energy, metal, and grain commodity markets during periods of heightened complexity. This indicates that EPU disrupts cross-market linkages, leading to desynchronization in price transmissions. Conversely, the Baltic Dry Index and oil prices amplify spillover effects, reinforcing market integration through global demand channels. This finding strikingly indicates that energy, metal, and grain market interconnectedness increases, driven by global aggregate demand. In this context, our study supports the demand-side transmission narrative and provides evidence that economic policy uncertainty does not create momentum among connectedness spillover among energy, metal, and grain commodity markets.

中文翻译：

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分析频率和分位数连通性溢出动力学关系：经济信号下的金属、谷物和能源市场

在这项研究中，我们研究了全球经济指标对能源、金属和粮食商品市场之间连通性溢出效应的影响。全球经济指标通过反映全球金融和贸易波动，直接创建了通往大宗商品市场的传输渠道。特别是在尾部地区，能源、金属和粮食等基本商品受到经济不确定性、石油供需和经济政策不确定性冲击的影响。特别是，铜是短期和长期冲击的主要净传导者，而石油和天然气价格是中位和极右尾区域的净冲击接收者。这一发现加强了对油价需求侧机制的叙述。另一方面，铜和镍是尾部区域的明显冲击发射器。这些结果强调了商品市场的相互关联性以及短期动态在市场低迷和市场状况好转期间塑造市场行为的重要性。然而，在高度复杂时期，经济政策的不确定性显著削弱了能源、金属和粮食大宗商品市场的溢出联系。这表明 EPU 破坏了跨市场联系，导致价格传输不同步。相反，波罗的海干散货指数和油价放大了溢出效应，通过全球需求渠道加强了市场一体化。这一发现显著表明，在全球总需求的推动下，能源、金属和粮食市场的相互关联性有所增强。 在此背景下，我们的研究支持需求侧传导叙事，并提供证据表明经济政策的不确定性不会在能源、金属和粮食商品市场之间的连通性溢出之间产生动力。