This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al. (J Risk Financ Manag 13(4):84, 2020). The results suggest that market interconnectedness increased slightly following the outbreak of COVID-19, although this increase was lower and less persistent than that observed after the Global Financial Crisis of 2008. Furthermore, we find that crude oil was the main net transmitter of shocks before COVID-19 while heating oil, gold, and silver were the main net transmitters of shocks during the COVID-19 pandemic. In contrast, natural gas and palladium were the main net receivers of shocks during the entire sample period, making these two commodities attractive hedging and safe haven options for investors during the pandemic. Overall, our results suggest that hedging and diversification opportunities decrease during crises. Furthermore, they indicate that accurate forecasts of the volatility of several commodities, such as natural gas and different metals, can be obtained by exploiting the information content of crude oil. However, they also reveal that crude oil lost its leading position as a net shock transmitter during the COVID-19 pandemic.

中文翻译：

---

能源和金属市场之间已实现的波动溢出：时变连通性方法

本文采用 Antonakakis 等人的时变参数向量自回归连通性方法，分析了 COVID-19 时代前后能源和金属商品价格之间的动态连通性程度。（《风险金融管理杂志》13(4):84, 2020）。结果表明，在 COVID-19 爆发后，市场关联性略有增加，尽管这种增加幅度低于 2008 年全球金融危机后观察到的水平，也不太持久。此外，我们发现，在此之前，原油是冲击的主要净传播者。 COVID-19 而取暖油、黄金和白银是 COVID-19 大流行期间冲击的主要净传播者。相比之下，天然气和钯金是整个样本期内冲击的主要净接收者，这使得这两种商品在疫情期间成为投资者有吸引力的对冲和避险选择。总体而言，我们的结果表明，危机期间对冲和多元化机会减少。此外，他们还指出，通过利用原油的信息内容，可以准确预测天然气和不同金属等多种商品的波动性。然而，他们还透露，在 COVID-19 大流行期间，原油失去了作为净冲击传递者的领先地位。