Time-varying multilayer networks analysis of frequency connectedness in commodity futures markets
Document Type
Research-Article
Journal Name
Empirical Economics
Keywords
Commodity futures markets, Frequency connectedness, Multilayer networks, Systemic risk
Abstract
This paper constructs multilayer frequency networks containing short-, medium-, and long-term layers to examine the frequency connectedness among commodity futures markets. We examine the frequency heterogeneity of commodity volatility connectedness at the average, dynamic, and crisis levels. We also investigate the determinants of frequency connectedness among commodity futures markets. The results show that there are strong short-term volatility spillovers between commodity futures markets, while connectedness during crises is dominated by long-term factors. We find that there is heterogeneity in the edge structure of short- and long-term networks during the crisis. In addition, we note that cocoa futures can hedge frequency risk in commodity markets. Determinants analysis suggests that inflation risk is the key driver of frequency connectedness in commodity futures. Moreover, the drivers of connectedness differ between short, medium, and long terms. Our work provides new insights for studying the risk contagion of commodity markets and informs the decisions of investors and regulators. © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2026.