IDEAS home Printed from https://ideas.repec.org/a/eco/journ1/v15y2024i1id17622.html

Dynamic Comovement between Indian Commodity Futures, Economic Policy Uncertainty and Geopolitical Risk: Evidence from Wavelet Analysis

Author

Listed:
  • Thilaga, M.

    (Department of Commerce, Periyar University, Salem, Tamil Nadu, India)

  • Rajkumar, K. Prabhakar

    (Department of Commerce, Periyar University, Salem, Tamil Nadu, India)

Abstract

The present study examines the dynamic comovements between two global risk factors and commodity futures returns. The study considers the daily futures price of nine commodities spanning from January 4th, 2012 to September 29th, 2023. The study employs wavelet analysis and wavelet- based Granger causality tests to analyze dynamic comovement and causal relationship between global risk factors and commodity futures return at different time horizons. The study results show a strong comovement between the US economic policy uncertainty (USEPU) and commodity futures return except for silver and mentha oil. On the other hand, the geopolitical risk (GPR) exhibits a weak relationship with gold, lead, zinc, and energy commodities across all-time frequencies. Further, the Wavelet Granger causality test results provide strong evidence that commodities futures return cause the USEPU in all the time horizons. Followed by the geopolitical risk reports significant evidence that commodities futures return causes GPR in all time horizons.

Suggested Citation

  • Thilaga, M. & Rajkumar, K. Prabhakar, 2024. "Dynamic Comovement between Indian Commodity Futures, Economic Policy Uncertainty and Geopolitical Risk: Evidence from Wavelet Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 15(1), pages 397-411, December.
    • Handle: RePEc:eco:journ1:v:15:y:2024:i:1:id:17622
    DOI: 10.32479/ijefi.17622
    as

    Download full text from publisher

    File URL: https://econjournals.com/index.php/ijefi/article/download/17622/8511
    Download Restriction: no
    File URL: https://libkey.io/10.32479/ijefi.17622?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eco:journ1:v:15:y:2024:i:1:id:17622. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Monica Sinhat (email available below). General contact details of provider: https://econjournals.com/index.php/ijefi .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.