LAUSR

Abstract The existing literature on the Granger causality between various commodity sector (energy, agriculture, and precious metals) indices remains limited in several aspects such as the long length of the sample period, time-variation in the causality relationship, and the examination of both returns and volatility. In the context of an enduring debate on the dynamic relationships among commodity sector indices during various turbulent and crisis periods, we use a long sample period, from January 1960 to May 2021, and detect changes in the relationships for both returns and volatility series via the application of the recent time-varying Granger causality test of Shi et al. (2020). The results show evidence of significant time changes in the relationships across all pairs of commodity sector indices, for both return and volatility and, in some cases, significant sequential feedback effects that are heterogenous across the three commodity sector indices. The evidence of temporary spillovers between energy and agriculture and energy and precious metals is more frequent than between agricultural and precious metals, especially for the return series. The time-variation and heterogeneity in the Granger causal relationships among the commodity sector indices do not always coincide with stress and crisis periods but can be seen in light of continuous developments and challenges in the commodity markets such as biofuel expansion and the financialization phenomenon.