In this study, we examine the energy commodities connectedness between the period June 2006 and April 2020 by implementing the Diebold–Yilmaz and the frequency connectedness approaches. We estimate dynamic connectedness between WTI crude oil, the Henry Hub natural gas, ULS diesel and the gasoline prices over the analysed period. Overall spillover indexes estimated by both methodologies properly respond to prominent geopolitical events over the sample period. Additionally, we plot network graphs for directional spillovers reflecting two distinct periods, 2007:3–2019:12 and 2020:1–2020:4. Network analysis verifies that the directional spillovers between energy commodities have prominently surged due to the COVID‐19 outbreak. The findings of the study underline the importance of an effective regulatory framework for monitoring commodity price developments to avoid adverse effects of commodity price shocks. Additionally, the authorities should enact policy actions to counteract the detrimental effects of the COVID‐19 pandemic on the commodity markets.

中文翻译：

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衡量能源商品中的动态连接网络：D-Y和频率连接方法的证据

在本研究中，我们通过实施Diebold–Yilmaz和频率连通性方法，研究了2006年6月至2020年4月之间的能源商品连通性。我们估计在分析期间，WTI原油，Henry Hub天然气，ULS柴油和汽油价格之间的动态联系。两种方法估算的总体溢出指数均能适当地应对样本期内的重大地缘政治事件。此外，我们绘制了反映两个截然不同的时期，即2007：3-2019：12和2020：1-2020：4的定向溢出的网络图。网络分析证明，由于COVID-19爆发，能源商品之间的定向溢出显着增加。该研究的结果强调了有效的监管框架对商品价格走势进行监测以避免商品价格冲击的不利影响的重要性。此外，当局应采取政策行动，以抵消COVID-19大流行对商品市场的不利影响。