Table 3.
Average connectedness among commodity and financial assets in the US.
| Oil | Gold | Corn | Stock | Bond | Currency | From | |
|---|---|---|---|---|---|---|---|
| Period 0: 2018/03/27–2019/12/06 | |||||||
| Oil | 79.5 | 2.5 (−0.4) | 2.4 (−0.3) | 7.3 (−0.1) | 5.2 (−0.8) | 3.1 (−0.7) | 3.4 |
| Gold | 4.9 (0.4) | 62.8 | 3.7 (0.2) | 6.1 (0.2) | 9.8 (−0.1) | 12.7 (−0.2) | 6.2 |
| Corn | 4.3 (0.3) | 2.7 (−0.2) | 85.3 | 2.5 (0.0) | 2.4 (−0.3) | 2.8 (−0.4) | 2.5 |
| Stock | 8.1 (0.1) | 4.9 (−0.2) | 2.5 (−0.0) | 65.1 | 12.7 (−0.1) | 6.8 (−0.4) | 5.8 |
| Bond | 9.8 (0.8) | 10.6 (0.1) | 4.4 (0.3) | 13.4 (0.1) | 58.0 | 3.8 (−0.2) | 7 |
| Currency | 7.4 (0.7) | 14.1 (0.2) | 5.3 (0.4) | 9.2 (0.4) | 4.9 (0.2) | 59.1 | 6.8 |
| Contribution TO others | 5.8 | 5.8 | 3.0 | 6.4 | 5.8 | 4.9 | |
| NET directional connectedness | 2.3 | −0.4 | 0.6 | 0.6 | −1.2 | −2.0 | TCI |
| NPDC transmitter | 5.0 | 2.0 | 3.0 | 4.0 | 1.0. | 0.0 | 31.7 |
| Period 1: 2019/12/09–2020/01/23 | |||||||
| Oil | 80.3 | 6.3 (0.4) | 2.3 (−0.7) | 2.6 (−0.1) | 5.7 (0.4) | 2.8 (−0.2) | 3.3 |
| Gold | 3.6 (−0.4) | 57.4 | 1.3 (−0.1) | 9.5 (−0.9) | 26.1 (0.0) | 2.1 (−0.3) | 7.1 |
| Corn | 6.3 (0.7) | 1.7 (0.1) | 85.6 | 2.0 (−0.0) | 3.5 (0.1) | 0.9 (−0.6) | 2.4 |
| Stock | 3.4 (0.1) | 15.0 (0.9) | 2.1 (0.0) | 60.7 | 15.2 (0.9) | 3.6 (−0.0) | 6.6 |
| Bond | 3.4 (−0.4) | 25.9 (−0.0) | 2.7 (−0.1) | 9.7 (−0.9) | 55.8 | 2.6 (−0.1) | 7.4 |
| Currency | 3.8 (0.2) | 4.2 (0.3) | 4.3 (0.6) | 3.9 (0.0) | 3.4 (0.1) | 80.4 | 3.3 |
| Contribution to others | 3.4 | 8.8 | 2.1 | 4.6 | 9.0 | 2.0 | |
| Net directional connectedness | 0.1 | 1.7 | −0.3 | −1.9 | 1.6 | −1.2 | TCI |
| NPDC transmitter | 3.0 | 4.0 | 2.0 | 1.0 | 5.0. | 0.0 | 30.0 |
| Period 2: 2020/02/03–2020/03/12 | |||||||
| Oil | 52.9 | 2.6 (−0.5) | 3.7 (−0.9) | 17.1 (0.1) | 14.7 (0.2) | 9.0 (−0.5) | 7.9 |
| Gold | 5.5 (0.5) | 64.2 | 2.3 (−0.5) | 9.1 (0.7) | 14.5 (0.7) | 4.3 (−0.1) | 6.0 |
| Corn | 9.1 (0.9) | 5.6 (0.5) | 67.1 | 7.1 (0.7) | 6.7 (0.5) | 4.5 (−0.1) | 5.5 |
| Stock | 16.4 (−0.1) | 5.0 (−0.7) | 3.0 (−0.7) | 48.3 | 18.9 (0.1) | 8.4 (−1.2) | 8.6 |
| Bond | 13.7 (−0.2) | 10.2 (−0.7) | 3.7 (−0.5) | 18.5 (−0.1) | 45.4 | 8.6 (−0.5) | 9.1 |
| Currency | 12.1 (0.5) | 5.2 (0.1) | 5.3 (0.1) | 15.3 (1.2) | 11.7 (0.5) | 50.3 | 8.3 |
| Contribution to others | 9.5 | 4.8 | 3.0 | 11.2 | 11.1 | 5.8 | |
| Net directional connectedness | 1.6 | −1.2 | −2.5 | 2.6 | 2.0 | −2.5 | TCI |
| NPDC transmitter | 3.0 | 2.0 | 1.0 | 4.0 | 5.0 | 0.0 | 45.3 |
| Period 3: 2020/03/13–2020/04/07 | |||||||
| Oil | 51.3 | 6.4 (−1.0) | 3.5 (−1.3) | 21.1 (1.0) | 4.7 (−0.3) | 13.1 (0.0) | 8.1 |
| Gold | 12.7 (1.0) | 55.6 | 4.7 (−0.3) | 14.1 (1.9) | 2.8 (−0.0) | 10.2 (1.3) | 7.4 |
| Corn | 11.0 (1.3) | 6.7 (0.3) | 43.6 | 17.0 (1.9) | 5.4 (0.3) | 16.3 (0.5) | 9.4 |
| Stock | 14.9 (−1.0) | 2.4 (−1.9) | 5.8 (−1.9) | 48.7 | 10.1 (−1.8) | 18.1 (−0.8) | 8.6 |
| Bond | 6.5 (0.3) | 3.1 (0.0) | 3.9 (−0.3) | 21.0 (1.8) | 59.1 | 6.4 (0.7) | 6.8 |
| Currency | 13.1 (−0.0) | 2.7 (−1.3) | 13.2 (−0.5) | 22.7 (0.8) | 2.1 (−0.7) | 46.2 | 9.0 |
| Contribution to others | 9.7 | 3.5 | 5.2 | 16.0 | 4.2 | 10.7 | |
| Net directional connectedness | 1.6 | −3.9 | −4.2 | 7.4 | −2.6 | 1.7 | TCI |
| NPDC transmitter | 3.0 | 2.0 | 0.0 | 5.0 | 1.0 | 4.0 | 49.3 |
| Period 4: 2020/04/08–2020/06/12 | |||||||
| Oil | 72.9 | 4.1 (−0.5) | 14.2 (−1.3) | 6.5 (−0.5) | 0.9 (−0.9) | 1.4 (−1.9) | 4.5 |
| Gold | 6.9 (0.5) | 75.7 | 1.8 (−0.9) | 8.2 (1.0) | 3.1 (−0.3) | 4.3 (0.2) | 4.0 |
| Corn | 22.0 (1.3) | 7.2 (0.9) | 53.5 | 9.1 (0.7) | 2.2 (0.0) | 5.8 (−0.4) | 7.7 |
| Stock | 9.2 (0.5) | 2.1 (−1.0) | 4.9 (−0.7) | 63.4 | 9.5 (−1.3) | 10.8 (−0.7) | 6.1 |
| Bond | 6.2 (0.9) | 4.9 (0.3) | 2.2 (−0.0) | 17.6 (1.3) | 64.2 | 5.0 (0.4) | 6.0 |
| Currency | 13.1 (1.9) | 3.3 (−0.2) | 8.2 (0.4) | 15.3 (0.7) | 2.3 (−0.4) | 57.8 | 7.0 |
| Contribution to others | 9.6 | 3.6 | 5.2 | 9.4 | 3.0 | 4.6 | |
| Net directional connectedness | 5.1 | −0.4 | −2.5 | 3.3 | −3.0 | −2.5 | TCI |
| NPDC transmitter | 5.0 | 2.0 | 1.0 | 4.0 | 1.0 | 2.0 | 35.4 |
Notes: This table presents the means of directional connectedness received by the asset in column 1 from the asset in line 1 over four periods. The “From” column lists the FROM connectedness. The “Contribution to others” row indicates the TO connectedness. The “Net directional connectedness” row reveals the total net connectedness of each assets. The numbers listed in “NPDC transmitter” line show the numbers of the asset in line 1 that act as a net transmitter among all pairwise directional connectedness. The numbers in the parentheses are NPDC connectedness. The largest NPDC connectedness are bolded and underlined.