Multi-Frequency Information Flows between Global Commodities and Uncertainties: Evidence from COVID-19 Pandemic

Table 4

Multi-frequency entropy analysis of information flow between global commodities and uncertainties.

	Flows towards uncertainties				Flows towards global commodities
Commodities	HFQ	MFQ	LFQ	Residue	HFQ	MFQ	LFQ	Residue
	EPU				Global commodities
Acommodity	−0.063	−0.047	−0.106	−0.116	−0.126	−0.082	−0.027	−0.114
Aenergy	0.091	−0.050	−0.057	−0.057	0.014	−0.114	0.003	−0.111
Ametals	−0.047	−0.047	−0.012	−0.039	0.106	−0.090	−0.035	−0.012
Imetals	0.062	0.033	−0.061	−0.121	0.163	−0.062	0.002	−0.118
Brent	−0.028	0.036	0.014	−0.116	−0.075	−0.063	−0.081	−0.115
Gasoline	0.062	0.033	−0.073	−0.122	−0.043	−0.057	−0.084	−0.119
Htoil	−0.009	0.027	−0.065	−0.124	−0.122	−0.063	−0.080	−0.124
Ngas	0.095	−0.093	−0.060	−0.122	0.098	−0.086	−0.060	−0.109
Petroleum	0.035	−0.004	−0.033	−0.113	−0.027	−0.136	0.069	−0.115
Cocoa	−0.079	−0.046	−0.065	−0.118	−0.021	−0.054	0.011	−0.108
Coffee	−0.114	−0.041	−0.060	−0.111	0.069	−0.116	−0.026	−0.110
Corn	−0.178	−0.047	−0.059	−0.120	0.057	−0.056	−0.068	−0.117
Cotton	0.012	0.035	−0.069	−0.116	0.012	−0.066	−0.086	−0.116
Soybeans	−0.030	−0.038	−0.068	−0.118	0.051	−0.125	−0.096	−0.120
Wheat	−0.166	−0.049	0.015	−0.121	0.040	−0.046	−0.052	−0.114
Gold	0.001	0.029	−0.182	−0.122	0.025	−0.069	−0.088	−0.110
Lead	−0.079	−0.055	−0.054	−0.023	−0.058	−0.100	−0.051	−0.015
Nickel	0.114	−0.055	−0.062	−0.074	0.017	−0.027	−0.066	−0.070
Palladium	−0.023	0.045	−0.072	−0.113	0.035	−0.098	−0.071	−0.119
Zinc	−0.018	0.030	−0.062	−0.117	−0.003	−0.066	−0.007	−0.117
	Gvolatility				Global commodities
Acommodity	−0.069	−0.060	0.011	−0.106	−0.072	−0.027	0.022	−0.111
Aenergy	0.190	−0.095	−0.058	−0.119	−0.002	−0.164	−0.018	−0.117
Ametals	−0.009	−0.107	−0.018	−0.056	−0.012	−0.143	−0.014	−0.048
Imetals	0.231	−0.104	−0.063	−0.077	−0.005	0.193	−0.001	−0.070
Brent	−0.062	−0.148	0.347	−0.057	−0.062	0.007	−0.064	−0.120
Gasoline	0.048	−0.110	−0.248	0.165	−0.043	−0.246	−0.255	−0.126
Htoil	−0.030	0.005	−0.046	−0.065	−0.104	−0.151	−0.025	−0.077
Ngas	−0.027	−0.063	−0.057	−0.121	−0.001	−0.050	−0.064	−0.117
Petroleum	0.045	−0.017	−0.063	−0.118	0.050	−0.051	−0.068	−0.126
Cocoa	−0.092	−0.080	−0.051	−0.115	0.011	−0.079	−0.007	−0.115
Coffee	−0.112	−0.095	−0.068	−0.069	−0.110	−0.241	−0.078	−0.074
Corn	0.008	−0.168	−0.064	−0.119	0.001	−0.077	−0.011	−0.116
Cotton	−0.029	−0.178	−0.057	−0.073	−0.057	−0.098	−0.019	−0.082
Soybeans	0.033	−0.173	0.107	−0.081	−0.060	−0.169	−0.032	0.040
Wheat	0.071	0.113	0.016	−0.085	0.051	−0.090	−0.044	−0.064
Gold	0.080	−0.126	−0.102	−0.123	−0.117	−0.190	−0.078	0.170
Lead	−0.151	−0.060	−0.058	−0.063	−0.199	−0.018	−0.062	−0.048
Nickel	−0.062	−0.011	−0.063	−0.110	−0.025	−0.062	−0.052	−0.114
Palladium	0.092	−0.022	−0.069	−0.114	0.100	−0.136	0.025	−0.124
Zinc	0.181	−0.121	0.112	−0.114	−0.111	−0.183	−0.122	−0.113
	OVX				Global commodities
Acommodity	−0.152	−0.021	−0.063	−0.125	−0.107	−0.144	−0.066	−0.118
Aenergy	−0.136	0.098	−0.059	−0.115	−0.185	−0.180	−0.086	−0.110
Ametals	−0.035	−0.068	−0.061	−0.056	0.030	−0.107	−0.068	−0.046
Imetals	0.017	−0.101	0.014	−0.122	0.034	−0.084	−0.073	−0.119
Brent	0.043	0.120	0.017	−0.082	0.181	−0.033	−0.070	−0.081
Gasoline	0.157	0.113	0.016	−0.074	0.169	−0.010	−0.074	−0.074
Htoil	0.020	0.113	0.016	−0.091	0.116	−0.036	−0.073	−0.070
Ngas	−0.037	−0.069	−0.076	−0.118	−0.036	−0.043	−0.032	−0.107
Petroleum	−0.095	−0.070	−0.051	−0.118	−0.082	−0.151	−0.058	−0.116
Cocoa	0.134	0.181	0.016	−0.121	0.153	−0.114	−0.074	−0.115
Coffee	0.052	0.101	0.017	−0.130	0.051	−0.177	−0.064	0.166
Corn	0.045	0.182	0.014	−0.067	0.082	−0.013	−0.063	−0.103
Cotton	0.165	0.194	0.014	−0.090	0.038	−0.019	−0.072	−0.072
Soybeans	0.175	0.193	0.015	0.167	0.049	−0.066	−0.073	−0.121
Wheat	0.237	−0.070	0.058	−0.118	0.083	−0.001	0.069	−0.113
Gold	0.087	0.112	0.024	0.045	0.147	−0.025	−0.097	−0.082
Lead	−0.047	−0.024	−0.014	−0.055	0.057	−0.119	−0.109	−0.047
Nickel	0.041	−0.014	−0.071	−0.117	0.060	−0.055	−0.133	−0.114
Palladium	−0.060	−0.026	−0.017	−0.120	−0.016	−0.126	−0.055	−0.115
Zinc	0.076	0.110	0.070	−0.065	0.257	−0.027	0.074	−0.098
	VCRIX				Global commodities
Acommodity	0.056	−0.017	−0.013	−0.122	0.031	−0.063	−0.020	−0.115
Aenergy	0.017	0.111	0.195	−0.118	−0.027	−0.105	−0.119	−0.117
Ametals	0.118	−0.052	−0.022	−0.057	−0.039	−0.033	−0.030	−0.048
Imetals	0.045	−0.153	0.018	−0.125	0.228	0.004	−0.084	−0.115
Brent	0.042	0.208	−0.090	−0.114	0.097	−0.025	−0.177	−0.114
Gasoline	0.059	0.115	−0.031	−0.116	0.173	−0.014	0.105	−0.120
Htoil	−0.003	0.196	0.190	−0.113	0.012	−0.024	−0.106	−0.117
Ngas	0.215	−0.055	−0.058	−0.119	0.154	−0.043	−0.070	−0.122
Petroleum	0.045	0.003	−0.055	−0.114	0.060	−0.155	−0.057	−0.119
Cocoa	0.090	0.324	0.019	−0.098	0.062	−0.086	−0.102	−0.073
Coffee	0.081	0.103	0.015	−0.114	0.059	−0.096	−0.086	−0.124
Corn	−0.054	0.126	0.015	−0.116	0.114	−0.130	−0.091	−0.112
Cotton	0.127	0.181	0.197	−0.122	0.188	−0.010	−0.119	−0.113
Soybeans	0.085	0.102	−0.091	−0.121	−0.018	−0.017	−0.183	−0.119
Wheat	0.048	−0.046	0.008	−0.117	−0.064	−0.087	−0.050	−0.121
Gold	0.178	0.104	−0.003	−0.116	0.101	−0.028	−0.067	−0.111
Lead	0.039	−0.020	−0.061	−0.054	0.087	−0.123	−0.063	−0.048
Nickel	−0.091	−0.028	−0.059	−0.113	−0.004	−0.108	−0.055	−0.118
Palladium	−0.024	−0.022	0.009	−0.117	0.051	−0.039	−0.067	−0.117
Zinc	0.071	0.111	−0.094	−0.114	0.085	−0.027	−0.191	−0.113
	VIX				Global commodities
Acommodity	−0.131	−0.089	−0.061	−0.114	−0.134	−0.070	0.010	−0.122
Aenergy	0.031	0.001	−0.054	−0.112	0.020	−0.085	−0.013	−0.121
Ametals	0.037	−0.117	−0.058	−0.063	−0.037	−0.179	0.015	−0.045
Imetals	0.167	0.016	−0.064	−0.118	0.015	0.036	−0.081	−0.118
Brent	−0.051	−0.150	0.196	−0.119	−0.131	−0.098	−0.106	−0.113
Gasoline	0.113	−0.047	−0.089	−0.115	−0.046	−0.123	−0.184	−0.124
Htoil	0.036	−0.096	0.029	−0.124	−0.114	−0.021	−0.091	−0.119
Ngas	−0.054	−0.041	−0.056	−0.119	0.020	−0.055	−0.068	−0.119
Petroleum	−0.005	−0.038	−0.023	−0.116	0.030	−0.022	−0.026	−0.123
Cocoa	−0.004	0.017	−0.062	−0.100	0.027	0.047	−0.015	−0.075
Coffee	−0.015	−0.056	−0.002	−0.119	−0.037	−0.081	−0.020	−0.120
Corn	−0.133	−0.048	−0.059	−0.115	0.116	−0.029	−0.022	−0.110
Cotton	0.027	−0.107	−0.014	−0.117	0.013	−0.001	0.079	−0.121
Soybeans	0.040	−0.044	0.159	−0.115	−0.045	−0.089	0.071	−0.117
Wheat	−0.022	−0.070	−0.069	−0.119	0.018	−0.076	−0.119	−0.114
Gold	−0.003	−0.061	−0.085	−0.121	−0.137	−0.063	0.023	−0.112
Lead	−0.054	−0.058	−0.055	−0.053	−0.150	−0.078	−0.057	−0.051
Nickel	−0.102	−0.076	−0.068	−0.114	0.004	−0.062	−0.056	−0.118
Palladium	0.012	−0.031	−0.013	−0.116	−0.134	−0.167	−0.044	−0.117
Zinc	0.143	−0.063	0.102	−0.115	0.060	−0.062	−0.031	−0.114

Note. ^∗, ^∗∗, and ^∗∗∗ indicate significance at 10%, 5%, and 1% levels, respectively.