Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis

Abstract

This study examines dynamic connectedness linkages between precious metals, manufacturing metals, oil, natural gas, and Bitcoin. The Quantile-VAR methodology is utilised to identify causal spillovers from 2015 through 2022, where results demonstrate significantly stronger pairwise connectedness at extreme quantiles, where the gold-silver and copper-oil pairs exhibit the strongest linkages. Additionally, the overall dynamic connectedness is higher at the lowest and highest quantiles, particularly reinforced during inflationary periods. Copper is identified as the strongest generator of spillovers, followed by silver, nickel, and zinc. There are mixed findings when analysing gold and aluminium, whereas oil, natural gas, and Bitcoin are identified as net receivers. This study provides insight into commodities and cryptocurrency markets’ diversifying and hedging abilities during alternative economic and financial conditions.