Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/323039 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
U.S.E. Working Papers Series No. 22-07
Verlag: 
Utrecht University, Utrecht University School of Economics (U.S.E.), Utrecht
Zusammenfassung: 
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 infor- mation 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.
Schlagwörter: 
Commodity futures
VAR
Granger causality
Mixed data sampling
Dokumentart: 
Working Paper

Datei(en):
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