Network Connectedness, Uncertainty and Net Spillover between Financial and Commodity Markets

We measure the return connectedness in US policy uncertainty, equity and commodity market between January 1990 to December 2015, with a specific focus on the net spillover transmission from one assets class to another asset class. Applying Diebold and Yilmaz (2012, 2014), we perform both static and dynamic analysis to measure the total return connectedness over our sample period. We use a dynamic analysis to measure net pairwise spillover and evaluate the net directional connectedness for each assets class. Finally, our visual depiction of the net return spillover transmission within a network connectedness framework provides specific information with strategic importance to cross-market portfolio managers