Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises?

Summary We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated, between themselves and with other financial markets, such events could have had an impact. In order to fully comprehend this possible impact, we examine prices fluctuations in three dimensions: the observation time, the space dimension – the same underlying asset can be traded simultaneously in two different places – and the maturity of the transactions. We first focus on the efficiency of the shocks propagation: does it improve during crises? Then we concentrate on the paths of shocks propagation: are they modified? How? Finally we focus on the centrality of the prices system: does it change? Does it increase?.