Time-frequency co-movements between commodities and global economic policy uncertainty across different crises.

Commodity futures constitute an attractive asset class for portfolio managers. Propelled by their low correlation with other assets, commodities begin gaining popularity among investors, as they allow to capture diversification benefits. This comprehensive study examines the time and frequency spillovers between the Economic Policy Uncertainty [1] and a broad set of commodities encompassing ferrous, non-ferrous, and precious metals, food, and energy commodities over a period from December 1997 to April 2022, which includes various political, economic and health crises.