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Macro news and commodity returns
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015
Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …
Persistent link: https://www.econbiz.de/10011346863
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The interplay between oil and food commodity prices : has it changed over time?
Peersman, Gert; Rüth, Sebastian; Van der Veken, Wouter - 2019
Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply - resulting from bad...
Persistent link: https://www.econbiz.de/10012064355
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Modeling fluctuations in the global demand for commodities
Kilian, Lutz; Zhou, Xiaoqing - 2017
It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic...
Persistent link: https://www.econbiz.de/10011754229
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Macroeconomic effects of disruptions in global food commodity markets : evidence for the United States
De Winne, Jasmien; Peersman, Gert - 2016
We use two approaches to examine the macroeconomic consequences of disruptions in global food commodity markets. First, we embed a novel quarterly composite global production index for the four basic staples (corn, wheat, rice and soybeans) in a standard vector autoregression (VAR) model, and we...
Persistent link: https://www.econbiz.de/10011565633
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Dimensions of macroeconomic uncertainty : a common factor analysis
Henzel, Steffen; Rengel, Malte - 2014
Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...
Persistent link: https://www.econbiz.de/10010412767
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Commodity price volatility, democracy and economic growth
Arezki, Rabah; Thorvaldur Gylfason - 2011
We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …
Persistent link: https://www.econbiz.de/10009355147
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Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras
Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021
volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …
Persistent link: https://www.econbiz.de/10012599014
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Multi-Factor Gegenbauer processes and European inflation rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...
Persistent link: https://www.econbiz.de/10003850335
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Oil market efficiency, quantity of information, and oil market turbulence
Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024
This paper analyses the informational efficiency of the WTI crude oil markets using a recently proposed quantitative measure for market inefficiency. The procedure measures the extent to which observed oil price behaviour deviates from the Random Walk benchmark which represents an efficient...
Persistent link: https://www.econbiz.de/10014490913
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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017
This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...
Persistent link: https://www.econbiz.de/10011669019