This study investigates linkages and connectedness among geopolitical risks, systemic stress, and commodity futures (energy, precious metals, industrial metals, and agricultural commodities). We combine the 22-day rolling ex-post higher-order moments with a novel Quantile-VAR extended joint connectedness framework. Our findings highlight the significant impacts of geopolitical risks and systemic stress on equicorrelations and spillovers of the higher-order moment risks. The total spillovers of higher-order moments at the extreme upper (0.95) and lower (0.05) quantiles are notably higher than those at the median quantile. Geopolitical risks convey substantial net spillovers of higher-order moment risks to commodity futures, particularly in extreme market status. In normal market conditions, systemic financial stress also transmits notable spillovers to commodity futures. Moreover, the dynamic connectedness indices evolve across time and quantiles.

本研究调查了地缘政治风险、系统性压力和商品期货（能源、贵金属、工业金属和农产品）之间的联系和关联性。我们将 22 天滚动事后高阶矩与新颖的 Quantile-VAR 扩展联合连通性框架相结合。我们的研究结果强调了地缘政治风险和系统性压力对高阶矩风险的等相关性和溢出效应的重大影响。最高分位数 (0.95) 和最低分位数 (0.05) 处高阶矩的总溢出明显高于中分位数处的高阶矩。地缘政治风险将高阶矩风险的大量净溢出传递给商品期货，特别是在极端的市场状况下。在正常市场条件下，系统性金融压力也会对商品期货产生显着的溢出效应。此外，动态连通性指数随着时间和分位数的变化而变化。