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growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …
Persistent link: https://www.econbiz.de/10012947591
an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities …
Persistent link: https://www.econbiz.de/10012948088
growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …
Persistent link: https://www.econbiz.de/10012453945
Persistent link: https://www.econbiz.de/10013369125
The large inflow of investment capital to commodity futures markets in the past decade has generated a heated debate about whether financialization distorts commodity prices. Rather than focusing on the opposing views concerning whether investment flows caused a price bubble, we critically...
Persistent link: https://www.econbiz.de/10013043526
shares of futures speculators have destabilized commodity spot prices. We approximate conditional volatility and regress it …-periods, and document whether the speculative impact on conditional volatility has increased. However, with respect to six heavily …
Persistent link: https://www.econbiz.de/10013112917
Fat-tailed commodity price innovations are well-documented in the literature and long recognized as disruptive for consumers and producers, yet little is known about what factors drive such extreme events. Utilizing a wide range of factors from the economics and finance literature and quantile...
Persistent link: https://www.econbiz.de/10013114046
markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal … this gap by investigating the volatility cross effects between oil and three different non-energy commodity markets. Using … the bivariate VAR-GARCH models, we do not find any evidence of volatility linkage between oil and agricultural product …
Persistent link: https://www.econbiz.de/10011881040
Persistent link: https://www.econbiz.de/10011773661
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