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Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach

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Author Info

  • Matteo Manera

    (University of Milan-Bicocca, Milan and Fondazione Eni Enrico Mattei, Milan)

  • Marcella Nicolini

    (University of Pavia, Pavia and Fondazione Eni Enrico Mattei, Milan)

  • Ilaria Vignati

    (Fondazione Eni Enrico Mattei, Milan)

Abstract

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying.

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Bibliographic Info

Paper provided by Fondazione Eni Enrico Mattei in its series Working Papers with number 2012.23.

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Date of creation: Apr 2012
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Handle: RePEc:fem:femwpa:2012.23

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Keywords: Energy; Commodities; Futures Markets; Financial Speculation; Multivariate GARCH;

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References

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  6. Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei.
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  19. Vansteenkiste, Isabel, 2009. "How important are common factors in driving non-fuel commodity prices? A dynamic factor analysis," Working Paper Series 1072, European Central Bank.
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  22. Natanelov, Valeri & Alam, Mohammad J. & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is there co-movement of agricultural commodities futures prices and crude oil?," Energy Policy, Elsevier, vol. 39(9), pages 4971-4984, September.
  23. Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425.
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Cited by:
  1. Creti, Anna & Joëts, Marc & Mignon, Valérie, 2013. "On the links between stock and commodity markets' volatility," Energy Economics, Elsevier, vol. 37(C), pages 16-28.
  2. Morana, Claudio, 2013. "Oil price dynamics, macro-finance interactions and the role of financial speculation," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 206-226.

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