Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/271260 
Year of Publication: 
2022
Series/Report no.: 
QMS Research Paper No. 2022/05
Publisher: 
Queen's University Belfast, Queen's Management School, Belfast
Abstract: 
We study potential drivers for a large cross-section of commodity futures. Unlike previous studies, we examine the effect of monthly drivers on daily returns using mixed-frequency Granger causality tests. We find real economic activity as a main driver on a monthly basis, whereas financial variables seem to affect returns at daily frequency. The linkages are time-varying for various stages of the financialization of commodity markets with an overall dissipating impact in the recent period of de-financialization. As our results strongly differ from traditional low-frequency Granger causality tests under the temporal aggregation of futures returns, we show the economic value of accessing information at a higher frequency in an out-of-sample trading study. Our findings emphasize the importance of using mixed-frequency techniques to uncover relationships between monthly-published macroeconomic variables and commodity prices.
Subjects: 
Commodity futures
VAR
Granger causality
Mixed data sampling
JEL: 
C58
G17
Q02
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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