Search results for "Commodities"
showing 4 items of 4 documents
Revealing Iberian woodcraft: conserved wooden artefacts from south-east Spain
2010
18 páginas, 6 figuras, 3 tablas.
Primary commodity prices: co-movements, common factors and fundamentals
2011
The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on co-movement of commodity prices.
Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?
2022
AbstractThis study analyses the impact of different uncertainties on commodity markets to assess commodity markets' hedging or safe-haven properties. Using time-varying dynamic conditional correlation and wavelet-based Quantile-on-Quantile regression models, our findings show that, both before and during the COVID-19 crisis, soybeans and clean energy stocks offer strong safe-haven opportunities against cryptocurrency price uncertainty and geopolitical risks (GPR). Soybean markets weakly hedge cryptocurrency policy uncertainty, US economic policy uncertainty, and crude oil volatility. In addition, GSCI commodity and crude oil also offer a weak safe-haven property against cryptocurrency uncer…
Small fish in big ponds : Connections of green finance assets to commodity and sectoral stock markets
2022
We analyze return and volatility connectedness of the rising green asset and the well-established US industry stock and commodity markets from September 2010 to July 2021. We find that the time-varying return and volatility connectedness have exhibited serious crisis jumps. Some individual assets of both the green and commodity markets are in connection to the US sectoral stock market returns, and the volatility connections are even more common than the return connections. Furthermore, some financial and economic uncertainty indicators manifest positive impacts from the volatility of some `big pond markets for e.g. commodities, whereas some others affect the connectedness negatively. Additi…