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The macroeconomic response to real and financial factors, commodity prices, and monetary policy : International evidence
Siklos, Pierre L. - In: Economic systems 45 (2021) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10012798128
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A model of financialization of commodities
Başak, Suleyman; Pavlova, Anna - 2015
Persistent link: https://www.econbiz.de/10011299571
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A Model of Financialization of Commodities
Basak, Suleyman - 2015
A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets, referred to as the financialization of commodities. In this paper, we explore the effects of financialization in a model that...
Persistent link: https://www.econbiz.de/10013036073
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A model of financialization of commodities
Başak, Suleyman; Pavlova, Anna - In: The journal of finance : the journal of the American … 71 (2016) 4, pp. 1511-1555
Persistent link: https://www.econbiz.de/10011588922
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The impact of macroeconomic uncertainty on international commodity prices : empirical analysis based on TVAR model
Tan, Xiaofen; Ma, Yongjiao - In: China finance review international 7 (2017) 2, pp. 163-184
Persistent link: https://www.econbiz.de/10011797779
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Modeling and forecasting commodity market volatility with long-term economic and financial variables
Nguyen, Duc Khuong; Walther, Thomas - 2018
Persistent link: https://www.econbiz.de/10011946687
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Commodity-dependent countries in the COVID-19 crisis
Tröster, Bernhard - 2020
The global spread of the corona virus is a massive challenge for countries in the Global South. Beyond the health crisis, many countries face economic turmoil linked to their dependence on commodities. Commodity markets have reacted strongly to the COVID-19 crisis with drastic price movements...
Persistent link: https://www.econbiz.de/10012219307
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Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets : evidence from rolling window analysis
Zhu, Huiming; Chen, Weiyan; Hau, Liya; Chen, Qitong - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012822243
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Does economic policy uncertainty matter for commodity market in China? : evidence from quantile regression
Zhu, Huiming; Huang, Rui; Wang, Ningli; Hau, Liya - In: Applied economics 52 (2020) 21, pp. 2292-2308
Persistent link: https://www.econbiz.de/10012197697
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Yield curve factors, term structure volatility, and bond risk premia
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con … ; yield curve risk ; stochastic volatility ; factor models ; macroeconomic fundamentals …
Persistent link: https://www.econbiz.de/10003770770