Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/123207
Authors: 
Caporale, Guglielmo Maria
Spagnolo, Fabio
Spagnolo, Nicola
Year of Publication: 
2015
Series/Report no.: 
CESifo Working Paper 5551
Abstract: 
This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen specification also controls for the effect of the exchange rate. The results can be summarised as follows. Mean spillovers running from news to commodity returns are positive with the exception of Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment linkages are stronger in the post-September 2008 period. Overall, our findings confirm that commodities, despite not being financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis has strengthened such linkages.
Subjects: 
macro news
commodity prices
VAR-GARCH model
JEL: 
C32
F36
G15
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.