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Returns in commodities futures markets and financial speculation: a multivariate GARCH approach

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  • Matteo Manera

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

  • Marcella Nicolini

    ()
    (Department of Economics and Business, University of 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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File URL: http://economia.unipv.it/docs/dipeco/quad/ps/RePEc/pav/wpaper/q170.pdf
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Bibliographic Info

Paper provided by University of Pavia, Department of Economics and Quantitative Methods in its series Quaderni di Dipartimento with number 170.

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Length: 51 pages
Date of creation: Apr 2012
Date of revision:
Handle: RePEc:pav:wpaper:170

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Related research

Keywords: Energy; Commodities; Futures markets; Financial speculation; Multivariate GARCH;

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References

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  1. Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers UWEC-2008-11-FC, University of Washington, Department of Economics, revised Oct 2009.
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  18. Sadorsky, Perry, 2002. "Time-varying risk premiums in petroleum futures prices," Energy Economics, Elsevier, vol. 24(6), pages 539-556, November.
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  22. Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006. "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, vol. 3(2), pages 114-132, June.
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Citations

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Cited by:
  1. 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.
  2. Anna Creti & Marc Joëts & Valérie Mignon, 2012. "On the links between stock and commodity markets' volatility," EconomiX Working Papers 2012-42, University of Paris West - Nanterre la Défense, EconomiX.
  3. Walid Mensi & Shawkat Hammoudeh & Duc Khuong Nguyen & Seong-Min Yoon, 2014. "Dynamic spillovers among major energy and cereal commodity prices," Working Papers 2014-160, Department of Research, Ipag Business School.

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