Search results for "Commodity market"
showing 5 items of 5 documents
Data for: Global Factors, Uncertainty, Weather Conditions and Energy Prices: On the drivers of the duration of commodity price cycle phases
2021
Supporting materials Title: "Global Factors, Uncertainty, Weather Conditions and Energy Prices: On the drivers of the duration of commodity price cycle phases" Authors: Luca Agnello, Vítor Castro, Shawkat Hammoudeh, and Ricardo M. Sousa.
Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold
2018
Based on daily data from 1989-2016 we find that the correlations between some relevant commodity market futures and equity returns in the aggregate U.S. market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between crude oil futures and aggregate U.S. equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. For energy sector equities, the dynamics of hedge ratios does not support using either crude oil or gold futures for cross-hedging during stock market crises.
Assessing commodity price risks and terms of trade exposures in emerging and developing countries
2020
This paper provides novel evidence on commodity exposure (impacts of commodity price and terms of trade fluctuations) amongst 46 emerging and developing countries (EMDCs) in Africa, Asia and the Latin American and Caribbean (LAC) region. We focus on the exposures of six macroeconomic variables to the commodity prices and terms of trade, based on the real business cycle (RBC) theory. Our empirical results indicate that, overall, about 10% of the macroeconomic variation amongst the EMDCs is due to commodity market-related exposures. The Asian and LAC economies are especially sensitive to changes in commodity prices. The changes in the prices of world trade have an imminent impact on non-commo…
Assessing the Commodity Market Price and Terms of Trade Exposures of Macroeconomy in Emerging and Developing Countries
2021
This paper provides novel evidence on commodity market exposure, i.e., the impacts of commodity price and terms of trade fluctuations on macro performance amongst 46 emerging and developing countries (EMDCs) in Africa, Asia and the Latin American and Caribbean (LAC) region. We estimate the exposure of six macroeconomic variables to the commodity prices and terms of trade. Our results indicate that in overall terms, there is a strong and statistically significant long-run relationship between the vector of analyzed world trade prices and macro variables in all EMDCs. However, based on the short-term reactions, only about 10% of the macroeconomic variation amongst the EMDCs is due to commodit…
The impact of financial crises on co-movements between commodity futures and equity prices : evidence from crude oil and gold markets
2017
Omaisuusluokkien välisillä korrelaatioilla on tärkeä rooli sijoitussalkun hajautusta ajatellen. Omaisuuslajien suojauksen kannalta erityisen tärkeää on tutkia, miten eri omaisuusluokat korreloivat kriisiperiodien aikana. Tässä Pro-Gradu -tutkielmassa tarkastellaan osakemarkkinakriisien vaikutusta hyödykefutuurien ja osakemarkkinatuottojen välisiin korrelaatioihin USA:n markkinoilla erityisesti raakaöljyn ja kullan osalta. Korrelaatioiden mallintamisessa hyödynnetään Cappiellon, Englen ja Sheppardin vuonna 2006 ehdottamaa yleistettyä diagonaalimuotoista DCC GARCH -mallia. Tutkimuksessa verrataan ehdollisten korrelaatioiden kehitystä erikseen USA:n osakemarkkinoiden yleisindeksin ja energiase…