The Impact of Geopolitical Risk on Systemic Risk Spillover in Commodity Market: An EMD-Based Network Topology Approach
Since the financialization of commodities, portfolio investments have become an important tool for investors to diversify risks. However, due to the nonlinear fluctuations brought about by extreme events, investors face more difficulties in the choice of risk portfolio. We adopt empirical mode decom...
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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/2226944 |
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| author | Zhijing Ding Xu Zhang |
| author_facet | Zhijing Ding Xu Zhang |
| author_sort | Zhijing Ding |
| collection | DOAJ |
| description | Since the financialization of commodities, portfolio investments have become an important tool for investors to diversify risks. However, due to the nonlinear fluctuations brought about by extreme events, investors face more difficulties in the choice of risk portfolio. We adopt empirical mode decomposition and STVAR model, along with the basis data of optimized original sample interval. In addition, we retain the mature research of multiscale systemic risk under frequency and divide the dimension of systemic risk into two states. When frequency is combined with states, the risk spillover center undergoes subversive changes, particularly in the longest term, and metals become the risk spillover center, substituting the energy commodity, on the condition that the compositions of extreme value add persuasive power to the perspective of long term. We proposed that the joint fluctuation of agricultural commodities and energy commodities makes the former become another important risk spillover point. For investors, holding period and portfolio both need to be considered. |
| format | Article |
| id | doaj-art-88400f79797f4d1f817bb1909ba03f97 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-88400f79797f4d1f817bb1909ba03f972025-02-03T06:11:56ZengWileyComplexity1076-27871099-05262021-01-01202110.1155/2021/22269442226944The Impact of Geopolitical Risk on Systemic Risk Spillover in Commodity Market: An EMD-Based Network Topology ApproachZhijing Ding0Xu Zhang1Changwang School of Honors, Nanjing University of Information Science & Technology, Nanjing 210044, ChinaSchool of Management Science and Engineering, Nanjing University of Information Science & Technology, Nanjing 210044, ChinaSince the financialization of commodities, portfolio investments have become an important tool for investors to diversify risks. However, due to the nonlinear fluctuations brought about by extreme events, investors face more difficulties in the choice of risk portfolio. We adopt empirical mode decomposition and STVAR model, along with the basis data of optimized original sample interval. In addition, we retain the mature research of multiscale systemic risk under frequency and divide the dimension of systemic risk into two states. When frequency is combined with states, the risk spillover center undergoes subversive changes, particularly in the longest term, and metals become the risk spillover center, substituting the energy commodity, on the condition that the compositions of extreme value add persuasive power to the perspective of long term. We proposed that the joint fluctuation of agricultural commodities and energy commodities makes the former become another important risk spillover point. For investors, holding period and portfolio both need to be considered.http://dx.doi.org/10.1155/2021/2226944 |
| spellingShingle | Zhijing Ding Xu Zhang The Impact of Geopolitical Risk on Systemic Risk Spillover in Commodity Market: An EMD-Based Network Topology Approach Complexity |
| title | The Impact of Geopolitical Risk on Systemic Risk Spillover in Commodity Market: An EMD-Based Network Topology Approach |
| title_full | The Impact of Geopolitical Risk on Systemic Risk Spillover in Commodity Market: An EMD-Based Network Topology Approach |
| title_fullStr | The Impact of Geopolitical Risk on Systemic Risk Spillover in Commodity Market: An EMD-Based Network Topology Approach |
| title_full_unstemmed | The Impact of Geopolitical Risk on Systemic Risk Spillover in Commodity Market: An EMD-Based Network Topology Approach |
| title_short | The Impact of Geopolitical Risk on Systemic Risk Spillover in Commodity Market: An EMD-Based Network Topology Approach |
| title_sort | impact of geopolitical risk on systemic risk spillover in commodity market an emd based network topology approach |
| url | http://dx.doi.org/10.1155/2021/2226944 |
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