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Relationships Among Strategic Commodities And With Financial Variables: A New Look

Author

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  • SHAWKAT HAMMOUDEH
  • RAMAZAN SARI
  • BRADLEY T. EWING

Abstract

"We examine the comovements among the prices of four strategic commodities that have long, adequate daily series: oil, gold, silver, and copper as a group. We also explore their causal relationships with two commodity-relevant macrofinancial variables: interest and exchange rates as an expanded group to shed some light on the prediction behaviors of those individual commodity prices relative to the selected financial variables. In the expanded group, the selected interest rate can provide a transmission link between commodity prices and the dollar exchange rate. The results and their policy implications are discussed at length". ("JEL "C51, E27, Q43) Copyright (c) 2008 Western Economic Association International.

Suggested Citation

  • Shawkat Hammoudeh & Ramazan Sari & Bradley T. Ewing, 2009. "Relationships Among Strategic Commodities And With Financial Variables: A New Look," Contemporary Economic Policy, Western Economic Association International, vol. 27(2), pages 251-264, April.
  • Handle: RePEc:bla:coecpo:v:27:y:2009:i:2:p:251-264
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Thai-Ha Le & Youngho Chang, 2011. "Oil and gold: correlation or causation?," Economics Bulletin, AccessEcon, vol. 31(3), pages 1-31.
    2. Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M., 2013. "Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 202-211.
    3. Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Emerging Markets Review, Elsevier, vol. 19(C), pages 1-17.
    4. Hoang, Thi Hong Van & Lahiani, Amine & Heller, David, 2016. "Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach," Economic Modelling, Elsevier, vol. 54(C), pages 54-66.
    5. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2012. "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 207-218.
    6. Sari, Ramazan & Soytas, Ugur & Hacihasanoglu, Erk, 2011. "Do global risk perceptions influence world oil prices?," Energy Economics, Elsevier, vol. 33(3), pages 515-524, May.
    7. Neda Todorova & Michael Soucek & Eduardo Roca, 2015. "Volatility spillovers from international commodity markets to the Australian equity market," Discussion Papers in Finance finance:201505, Griffith University, Department of Accounting, Finance and Economics.
    8. Wo-Chiang Lee & Hui-Na Lin, 2012. "Threshold effects in the relationships between USD and gold futures by panel smooth transition approach," Applied Economics Letters, Taylor & Francis Journals, vol. 19(11), pages 1065-1070, July.
    9. A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander, 2012. "Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation," Working Paper CRENoS 201214, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    10. Le, Thai-Ha & Chang, Youngho, 2016. "Dynamics between strategic commodities and financial variables: Evidence from Japan," Resources Policy, Elsevier, vol. 50(C), pages 1-9.
    11. Bhar, Ramaprasad & Malliaris, A.G., 2011. "Oil prices and the impact of the financial crisis of 2007–2009," Energy Economics, Elsevier, vol. 33(6), pages 1049-1054.
    12. Nazlioglu, Saban & Soytas, Ugur, 2011. "World oil prices and agricultural commodity prices: Evidence from an emerging market," Energy Economics, Elsevier, vol. 33(3), pages 488-496, May.
    13. Antonakakis, Nikolaos & Kizys, Renatas, 2015. "Dynamic spillovers between commodity and currency markets," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 303-319.
    14. Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2013. "Transitional Dynamics of Oil Prices," MPRA Paper 56407, University Library of Munich, Germany.
    15. Bhar, Ramaprasad & Hammoudeh, Shawkat, 2011. "Commodities and financial variables: Analyzing relationships in a changing regime environment," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 469-484, October.
    16. Khalifa, Ahmed A.A. & Otranto, Edoardo & Hammoudeh, Shawkat & Ramchander, Sanjay, 2016. "Volatility transmission across currencies and commodities with US uncertainty measures," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 63-83.
    17. Zhao, Yanping & Chang, Hsu-Ling & Su, Chi-Wei & Nian, Rui, 2015. "Gold bubbles: When are they most likely to occur?," Japan and the World Economy, Elsevier, vol. 34, pages 17-23.

    More about this item

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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