Dynamic links between commodities and financial markets under recent crises: evidence from BRICS countries

This paper investigates the dynamic linkages between BRICS equity markets, U.S. and major commodities from 2015 to 2024, including the COVID-19 and Russia – Ukraine conflict. Using DY12 spillover, BK18 frequency decomposition, and wavelet coherence, we capture time-varying, horizon-specific, and directional spillovers. Results show the U.S. as a persistent shock transmitter, BRICS markets as short-term receivers, and commodities as conditional transmitters reflecting crises and structural linkages. Short-term spillovers spike during shocks, while long-term interdependencies persist. Findings inform systemic risk management, portfolio diversification, and crisis-sensitive market monitoring.