Commodity correlation risk
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jcomm.2025.100473
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or
for a different version of it.Other versions of this item:
- Joseph Byrne & Ryuta Sakemoto, "undated". "Commodity Correlation Risk," Working Papers 22-11, University of Strathclyde Business School, Department of Economics.
References listed on IDEAS
- Ben Jacobsen & Ben R. Marshall & Nuttawat Visaltanachoti, 2019. "Stock Market Predictability and Industrial Metal Returns," Management Science, INFORMS, vol. 65(7), pages 3026-3042, July.
- Dirk G. Baur & Brian M. Lucey, 2010.
"Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold,"
The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
- Dirk G. Baur & Brian M. Lucey, 2007. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Institute for International Integration Studies Discussion Paper Series iiisdp198, IIIS.
- Ivo Welch & Amit Goyal, 2008.
"A Comprehensive Look at The Empirical Performance of Equity Premium Prediction,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
- Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
- Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II," Swiss Finance Institute Research Paper Series 21-85, Swiss Finance Institute.
- Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
- Uhlig, Harald, 2005.
"What are the effects of monetary policy on output? Results from an agnostic identification procedure,"
Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
- Uhlig, H.F.H.V.S., 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," Discussion Paper 1999-28, Tilburg University, Center for Economic Research.
- Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers.
- Ing-Haw Cheng & Wei Xiong, 2014.
"Financialization of Commodity Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
- Ing-Haw Cheng & Wei Xiong, 2013. "The Financialization of Commodity Markets," NBER Working Papers 19642, National Bureau of Economic Research, Inc.
- Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2022.
"Common factors of commodity prices,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2018. "Common factors of commodity prices," Research Bulletin, European Central Bank, vol. 51.
- Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2017. "Common Factors of Commodity Prices," Working papers 645, Banque de France.
- Giannone, Domenico & Ferrara, Laurent & Delle Chiaie, Simona, 2018. "Common Factors of Commodity Prices," CEPR Discussion Papers 12767, C.E.P.R. Discussion Papers.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2017. "Common factors of commodity prices," Working Paper Series 2112, European Central Bank.
- Peersman, Gert & Rüth, Sebastian K. & Van der Veken, Wouter, 2021.
"The interplay between oil and food commodity prices: Has it changed over time?,"
Journal of International Economics, Elsevier, vol. 133(C).
- Gert Peersman & Sebastian K. R th & Wouter Van der Veken, 2019. "The Interplay between Oil and Food Commodity Prices: Has It Changed over Time?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/978, Ghent University, Faculty of Economics and Business Administration.
- Peersman, Gert & Rüth, Sebastian K. & Van der Veken, Wouter, 2019. "The interplay between oil and food commodity prices: Has It changed over time?," Working Papers 0665, University of Heidelberg, Department of Economics.
- Gert Peersman & Sebastian K. Rüth & Wouter Van der Veken, 2019. "The Interplay between Oil and Food Commodity Prices: Has It Changed over Time?," CESifo Working Paper Series 7826, CESifo.
- Andrea Buraschi & Fabio Trojani & Andrea Vedolin, 2014. "When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia," Journal of Finance, American Finance Association, vol. 69(1), pages 101-137, February.
- Joao Gomes & Leonid Kogan & Lu Zhang, 2004.
"Erratum: "Equilibrium Cross Section of Returns","
Journal of Political Economy, University of Chicago Press, vol. 112(3), pages 724-753, June.
- Joao Gomes & Leonid Kogan & Lu Zhang, 2003. "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, vol. 111(4), pages 693-732, August.
- Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul, 2017.
"Real-time forecast evaluation of DSGE models with stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 201(2), pages 322-332.
- Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2015. "Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility," PIER Working Paper Archive 15-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 May 2015.
- Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul, 2017. "Real-time forecast evaluation of DSGE models with stochastic volatility," CFS Working Paper Series 577, Center for Financial Studies (CFS).
- Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2016. "Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility," NBER Working Papers 22615, National Bureau of Economic Research, Inc.
- Tobias Adrian & Richard K. Crump & Erik Vogt, 2019.
"Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds,"
Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
- Tobias Adrian & Richard K. Crump & Erik Vogt, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York.
- Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.
- Pollet, Joshua M. & Wilson, Mungo, 2010. "Average correlation and stock market returns," Journal of Financial Economics, Elsevier, vol. 96(3), pages 364-380, June.
- Grilli, Enzo R & Yang, Maw Cheng, 1988. "Primary Commodity Prices, Manufactured Goods Prices, and the Terms of Trade of Developing Countries: What the Long Run Shows," The World Bank Economic Review, World Bank, vol. 2(1), pages 1-47, January.
- John T Cuddington & Daniel Jerrett, 2008. "Super Cycles in Real Metals Prices?," IMF Staff Papers, Palgrave Macmillan, vol. 55(4), pages 541-565, December.
- Allan D. Brunner, 2002.
"El Niño and World Primary Commodity Prices: Warm Water or Hot Air?,"
The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 176-183, February.
- Allan D. Brunner, 1998. "El Nino and world primary commodity prices: warm water or hot air?," International Finance Discussion Papers 608, Board of Governors of the Federal Reserve System (U.S.).
- Mr. Allan D. Brunner, 2000. "El Nino and World Primary Commodity Prices: Warm Water or Hot Air?," IMF Working Papers 2000/203, International Monetary Fund.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2022.
"Energy Markets and Global Economic Conditions,"
The Review of Economics and Statistics, MIT Press, vol. 104(4), pages 828-844, October.
- Baumeister, Christiane & Korobilis, Dimitris & Lee, Thomas K., 2020. "Energy Markets and Global Economic Conditions," CEPR Discussion Papers 14580, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," CESifo Working Paper Series 8282, CESifo.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," NBER Working Papers 27001, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," Working Papers 2020_08, Business School - Economics, University of Glasgow.
- Ayres, Joao & Hevia, Constantino & Nicolini, Juan Pablo, 2020.
"Real exchange rates and primary commodity prices,"
Journal of International Economics, Elsevier, vol. 122(C).
- Juan Nicolini & Constantino Hevia & Joao Ayres, 2015. "Real Exchange Rates and Commodity Prices," 2015 Meeting Papers 182, Society for Economic Dynamics.
- Joao Ayres & Constantino Hevia & Juan Pablo Nicolini, 2019. "Real Exchange Rates and Primary Commodity Prices," Staff Report 584, Federal Reserve Bank of Minneapolis.
- Ayres, JoaÞo & Hevia, Constantino & Nicolini, Juan Pablo, 2019. "Real Exchange Rates and Primary Commodity Prices," IDB Publications (Working Papers) 10021, Inter-American Development Bank.
- Joao Ayres & Constantino Hevia & Juan Pablo Nicolini, 2017. "Real Exchange Rates and Primary Commodity Prices," Working Papers 743, Federal Reserve Bank of Minneapolis.
- Winkelried, Diego, 2018.
"Unit roots, flexible trends, and the Prebisch-Singer hypothesis,"
Journal of Development Economics, Elsevier, vol. 132(C), pages 1-17.
- Winkelried, Diego, 2015. "Unit Roots, Flexible Trends and the Prebisch-Singer Hypothesis," Working Papers 2015-007, Banco Central de Reserva del Perú.
- Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015.
"Measuring Uncertainty,"
American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
- Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2013. "Measuring Uncertainty," NBER Working Papers 19456, National Bureau of Economic Research, Inc.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017.
"International correlation risk,"
Journal of Financial Economics, Elsevier, vol. 126(2), pages 270-299.
- Philippe Mueller & Andreas Stathopoulos & Andrea Vedolin, "undated". "International Correlation Risk," FMG Discussion Papers dp716, Financial Markets Group.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2013. "International correlation risk," LSE Research Online Documents on Economics 43087, London School of Economics and Political Science, LSE Library.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," LSE Research Online Documents on Economics 84140, London School of Economics and Political Science, LSE Library.
- Andreas Stathopoulos & Andrea Vedolin & Philippe Mueller, 2012. "International Correlation Risk," 2012 Meeting Papers 818, Society for Economic Dynamics.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2014. "International correlation risk," LSE Research Online Documents on Economics 60955, London School of Economics and Political Science, LSE Library.
- Baur, Dirk G. & McDermott, Thomas K., 2010.
"Is gold a safe haven? International evidence,"
Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
- Dirk G. Baur & Thomas K. McDermott, "undated". "Is gold a safe haven? International evidence," The Institute for International Integration Studies Discussion Paper Series iiisdp310, IIIS.
- Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2017. "Commodity Markets, Long-Run Predictability, and Intertemporal Pricing," Review of Finance, European Finance Association, vol. 21(3), pages 1159-1188.
- Luca Gambetti & Jordi Galí, 2009.
"On the Sources of the Great Moderation,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 26-57, January.
- Jordi Galí & Luca Gambetti, 2006. "On the sources of the Great Moderation," Economics Working Papers 1041, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2007.
- Jordi Gali & Luca Gambetti, 2008. "On the Sources of the Great Moderation," NBER Working Papers 14171, National Bureau of Economic Research, Inc.
- GalÃ, Jordi & Gambetti, Luca, 2008. "On the Sources of the Great Moderation," CEPR Discussion Papers 6632, C.E.P.R. Discussion Papers.
- Ratti, Ronald A. & Vespignani, Joaquin L., 2015.
"Commodity prices and BRIC and G3 liquidity: A SFAVEC approach,"
Journal of Banking & Finance, Elsevier, vol. 53(C), pages 18-33.
- Ratti, Ronald A. & Vespignani, Joaquin L., 2013. "Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach," MPRA Paper 49324, University Library of Munich, Germany.
- Ronald A. Ratti & Joaquin L. Vespignani, 2014. "Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach," CAMA Working Papers 2014-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ratti, Ronald A & Vespignani, Joaquin L., 2013. "Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach," Working Papers 17096, University of Tasmania, Tasmanian School of Business and Economics, revised 09 Jan 2013.
- Jun Ma & Andrew Vivian & Mark E. Wohar, 2020. "What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(2), pages 311-330, April.
- Michael Sockin & Wei Xiong, 2015. "Informational Frictions and Commodity Markets," Journal of Finance, American Finance Association, vol. 70(5), pages 2063-2098, October.
- Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
- Garcia, René & Mantilla-García, Daniel & Martellini, Lionel, 2014.
"A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1133-1165, December.
- René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers 2013s-01, CIRANO.
- Philippe Bacchetta & Eric Van Wincoop, 2004.
"A Scapegoat Model of Exchange-Rate Fluctuations,"
American Economic Review, American Economic Association, vol. 94(2), pages 114-118, May.
- Philippe BACCHETTA & Eric VAN WINCOOP, 2004. "A Scapegoat Model of Exchange Rate Fluctuations," Cahiers de Recherches Economiques du Département d'économie 04.01, Université de Lausanne, Faculté des HEC, Département d’économie.
- Philippe Bacchetta & Eric van Wincoop, 2004. "A Scapegoat Model of Exchange Rate Fluctuations," Working Papers 04.01, Swiss National Bank, Study Center Gerzensee.
- Bacchetta, Philippe & van Wincoop, Eric, 2004. "A Scapegoat Model of Exchange Rate Fluctuations," CEPR Discussion Papers 4268, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Eric van Wincoop, 2004. "A Scapegoat Model of Exchange Rate Fluctuations," NBER Working Papers 10245, National Bureau of Economic Research, Inc.
- Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2016.
"Measuring Economic Policy Uncertainty,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 131(4), pages 1593-1636.
- Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2015. "Measuring Economic Policy Uncertainty," Economics Working Papers 15111, Hoover Institution, Stanford University.
- Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2015. "Measuring Economic Policy Uncertainty," NBER Working Papers 21633, National Bureau of Economic Research, Inc.
- Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2015. "Measuring Economic Policy Uncertainty," CEP Discussion Papers dp1379, Centre for Economic Performance, LSE.
- Baker, Scott R. & Bloom, Nicholas & Davis, Steven J., 2015. "Measuring economic policy uncertainty," LSE Research Online Documents on Economics 64986, London School of Economics and Political Science, LSE Library.
- Davis, Steven & Bloom, Nicholas & Baker, Scott, 2015. "Measuring Economic Policy Uncertainty," CEPR Discussion Papers 10900, C.E.P.R. Discussion Papers.
- Bessler, Wolfgang & Wolff, Dominik, 2015. "Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 1-20.
- Wenjin Kang & K. Geert Rouwenhorst & Ke Tang, 2020. "A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets," Journal of Finance, American Finance Association, vol. 75(1), pages 377-417, February.
- Adams, Zeno & Glück, Thorsten, 2015. "Financialization in commodity markets: A passing trend or the new normal?," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 93-111.
- Lutz Kilian, 2009.
"Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market,"
American Economic Review, American Economic Association, vol. 99(3), pages 1053-1069, June.
- Kilian, Lutz, 2006. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," CEPR Discussion Papers 5994, C.E.P.R. Discussion Papers.
- Joseph P Byrne & Ryuta Sakemoto & Bing Xu, 2020.
"Commodity price co-movement: heterogeneity and the time-varying impact of fundamentals [Oil price shocks and the stock market: evidence from Japan],"
European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 47(2), pages 499-528.
- Byrne, Joseph P & Sakemoto, Ryuta & Xu, Bing, 2017. "Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals," MPRA Paper 80791, University Library of Munich, Germany.
- Joost Driessen & Pascal J. Maenhout & Grigory Vilkov, 2009. "The Price of Correlation Risk: Evidence from Equity Options," Journal of Finance, American Finance Association, vol. 64(3), pages 1377-1406, June.
- Pindyck, Robert S & Rotemberg, Julio J, 1990.
"The Excess Co-movement of Commodity Prices,"
Economic Journal, Royal Economic Society, vol. 100(403), pages 1173-1189, December.
- Pindyck, Robert S. & Rotemberg, Julio., 1987. "The excess co-movement of commodity prices," Working papers 1969-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert S. Pindyck & Julio J. Rotemberg, 1988. "The Excess Co-Movement of Commodity Prices," NBER Working Papers 2671, National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 2005.
"Understanding Changes In International Business Cycle Dynamics,"
Journal of the European Economic Association, MIT Press, vol. 3(5), pages 968-1006, September.
- James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
"On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2018.
"Commodity Connectedness,"
Central Banking, Analysis, and Economic Policies Book Series, in: Enrique G. Mendoza & Ernesto Pastén & Diego Saravia (ed.),Monetary Policy and Global Spillovers: Mechanisms, Effects and Policy Measures, edition 1, volume 25, chapter 4, pages 097-136,
Central Bank of Chile.
- Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2017. "Commodity Connectedness," PIER Working Paper Archive 17-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 02 Mar 2017.
- Diebold, Francis X. & Liu, Laura & Yilmaz, Kamil, 2017. "Commodity connectedness," CFS Working Paper Series 575, Center for Financial Studies (CFS).
- Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2017. "Commodity Connectedness," NBER Working Papers 23685, National Bureau of Economic Research, Inc.
- repec:bla:jfinan:v:58:y:2003:i:3:p:975-1008 is not listed on IDEAS
- Ohashi, Kazuhiko & Okimoto, Tatsuyoshi, 2016.
"Increasing trends in the excess comovement of commodity prices,"
Journal of Commodity Markets, Elsevier, vol. 1(1), pages 48-64.
- Kazuhiko OHASHI & Tatsuyoshi OKIMOTO, 2013. "Increasing Trends in the Excess Comovement of Commodity Prices," Discussion papers 13048, Research Institute of Economy, Trade and Industry (RIETI).
- Kazuhiko Ohashi & Tatsuyoshi Okimoto, 2016. "Increasing Trends in the Excess Comovement of Commodity Prices," CAMA Working Papers 2016-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George, 2014. "Are there common factors in individual commodity futures returns?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 346-363.
- Byrne, Joseph P. & Fazio, Giorgio & Fiess, Norbert, 2013.
"Primary commodity prices: Co-movements, common factors and fundamentals,"
Journal of Development Economics, Elsevier, vol. 101(C), pages 16-26.
- Joseph P. Byrne & Giorgio Fazio & Norbert Fiess, 2010. "Primary commodity prices: co-movements, common factors and fundamentals," Working Papers 2010_27, Business School - Economics, University of Glasgow.
- Byrne, Joseph P. & Fazio, Giorgio & Fiess, Norbert, 2011. "Primary commodity prices : co-movements, common factors and fundamentals," Policy Research Working Paper Series 5578, The World Bank.
- Joao Gomes & Leonid Kogan & Lu Zhang, 2003.
"Equilibrium Cross Section of Returns,"
Journal of Political Economy, University of Chicago Press, vol. 111(4), pages 693-732, August.
- Gomes, Joao & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers.
- Prebisch, Raúl, 1950. "The economic development of Latin America and its principal problems," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 29973, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
- Jeffrey A. Frankel, 2008.
"The Effect of Monetary Policy on Real Commodity Prices,"
NBER Chapters, in: Asset Prices and Monetary Policy, pages 291-333,
National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel, 2006. "The Effect of Monetary Policy on Real Commodity Prices," NBER Working Papers 12713, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Gert Peersman, 2013.
"Time-Varying Effects of Oil Supply Shocks on the US Economy,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 1-28, October.
- C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration.
- Christiane Baumeister & Gert Peersman, 2012. "Time-Varying Effects of Oil Supply Shocks on the U.S. Economy," Staff Working Papers 12-2, Bank of Canada.
- Gert Peersman & Christiane Baumeister, 2009. "Time-Varying Effects of Oil Supply Shocks on the US Economy," 2009 Meeting Papers 171, Society for Economic Dynamics.
- Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012.
"Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach,"
The Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3711-3751.
- Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012. "Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach," CREATES Research Papers 2012-48, Department of Economics and Business Economics, Aarhus University.
- Sydney C. Ludvigson & Serena Ng, 2009.
"Macro Factors in Bond Risk Premia,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5027-5067, December.
- Sydeny C. Ludvigson & Serena Ng, 2005. "Macro Factors in Bond Risk Premia," NBER Working Papers 11703, National Bureau of Economic Research, Inc.
- Kenneth J. Singleton, 2014. "Investor Flows and the 2008 Boom/Bust in Oil Prices," Management Science, INFORMS, vol. 60(2), pages 300-318, February.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009.
"Carry Trades and Currency Crashes,"
NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 313-347,
National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," Working Papers 2008-1, Princeton University. Economics Department..
- Amit Goyal & Pedro Santa‐Clara, 2003. "Idiosyncratic Risk Matters!," Journal of Finance, American Finance Association, vol. 58(3), pages 975-1007, June.
- Yamada, Hiroshi & Yoon, Gawon, 2014. "When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 193-207.
- Suleyman Basak & Anna Pavlova, 2016.
"A Model of Financialization of Commodities,"
Journal of Finance, American Finance Association, vol. 71(4), pages 1511-1556, August.
- Basak, Suleyman & Pavlova, Anna, 2015. "A Model of Financialization of Commodities," CEPR Discussion Papers 10651, C.E.P.R. Discussion Papers.
- Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006.
"The Cross‐Section of Volatility and Expected Returns,"
Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
- Luciana Juvenal & Ivan Petrella, 2015.
"Speculation in the Oil Market,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 621-649, June.
- Luciana Juvenal & Ivan Petrella, 2012. "Speculation in the oil market," Economic Synopses, Federal Reserve Bank of St. Louis.
- Luciana Juvenal & Ivan Petrella, 2011. "Speculation in the oil market," Working Papers 2011-027, Federal Reserve Bank of St. Louis.
- Petrella, Ivan & Juvenal, Luciana, 2014. "Speculation in the Oil Market," CEPR Discussion Papers 9808, C.E.P.R. Discussion Papers.
- Christiane Baumeister & James D. Hamilton, 2019.
"Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks,"
American Economic Review, American Economic Association, vol. 109(5), pages 1873-1910, May.
- Christiane J.S. Baumeister & James D. Hamilton, 2017. "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks," NBER Working Papers 24167, National Bureau of Economic Research, Inc.
- Christiane Baumeister & James D. Hamilton, 2017. "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks," CESifo Working Paper Series 6835, CESifo.
- Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013.
"The Fundamentals of Commodity Futures Returns,"
Review of Finance, European Finance Association, vol. 17(1), pages 35-105.
- Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2007. "The Fundamentals of Commodity Futures Returns," NBER Working Papers 13249, National Bureau of Economic Research, Inc.
- Stivers, Chris & Sun, Licheng, 2010. "Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 987-1014, August.
- Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014.
"What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism,"
Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
- Mumtaz, Haroon & Zabczyk, Pawel & Ellis, Colin, 2011. "What lies beneath? A time-varying FAVAR model for the UK transmission mechanism," Working Paper Series 1320, European Central Bank.
- James D. Hamilton & Jing Cynthia Wu, 2015.
"Effects Of Index‐Fund Investing On Commodity Futures Prices,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(1), pages 187-205, February.
- James D. Hamilton & Jing Cynthia Wu, 2014. "Effects of Index-Fund Investing on Commodity Futures Prices," NBER Working Papers 19892, National Bureau of Economic Research, Inc.
- Whitney Newey & Kenneth West, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- James D. Hamilton, 2021. "Measuring global economic activity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 293-303, April.
- Marco Del Negro & Giorgio E. Primiceri, 2015.
"Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1342-1345.
- Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.
- Kang, Wenjin & Tang, Ke & Wang, Ningli, 2023. "Financialization of commodity markets ten years later," Journal of Commodity Markets, Elsevier, vol. 30(C).
- Veldkamp, Laura L., 2005. "Slow boom, sudden crash," Journal of Economic Theory, Elsevier, vol. 124(2), pages 230-257, October.
- West, Kenneth D. & Wong, Ka-Fu, 2014. "A factor model for co-movements of commodity prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 289-309.
- Adams, Zeno & Glueck, Thorsten, 2014. "Financialization in Commodity Markets: A Passing Trend or the New Normal?," Working Papers on Finance 1413, University of St. Gallen, School of Finance, revised Aug 2015.
- James D. Hamilton & Jing Cynthia Wu, 2015.
"Effects Of Index‐Fund Investing On Commodity Futures Prices,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 187-205, February.
- James D. Hamilton & Jing Cynthia Wu, 2014. "Effects of Index-Fund Investing on Commodity Futures Prices," NBER Working Papers 19892, National Bureau of Economic Research, Inc.
- Bleaney, Michael & Greenaway, David, 2001. "The impact of terms of trade and real exchange rate volatility on investment and growth in sub-Saharan Africa," Journal of Development Economics, Elsevier, vol. 65(2), pages 491-500, August.
- Nikolay Gospodinov & Serena Ng, 2013. "Commodity Prices, Convenience Yields, and Inflation," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 206-219, March.
- Levy, Haim, 1978. "Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio," American Economic Review, American Economic Association, vol. 68(4), pages 643-658, September.
- Cody, Brian J & Mills, Leonard O, 1991. "The Role of Commodity Prices in Formulating Monetary Policy," The Review of Economics and Statistics, MIT Press, vol. 73(2), pages 358-365, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022.
"Common Drivers of Commodity Futures?,"
QBS Working Paper Series
2022/05, Queen's University Belfast, Queen's Business School.
- Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022. "Common Drivers of Commodity Futures?," Working Papers 2207, Utrecht School of Economics.
- Yasuhiro Iwanaga & Ryuta Sakemoto, 2023. "Commodity momentum decomposition," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 198-216, February.
- Wen, Xiaoqian & Xie, Yuxin & Pantelous, Athanasios A., 2022. "Extreme price co-movement of commodity futures and industrial production growth: An empirical evaluation," Energy Economics, Elsevier, vol. 108(C).
- Nakagawa, Kei & Sakemoto, Ryuta, 2024. "Commodity sectors and factor investment strategies," International Review of Financial Analysis, Elsevier, vol. 95(PC).
- Semeyutin, Artur & Gozgor, Giray & Lau, Chi Keung Marco & Xu, Bing, 2021. "Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets," Energy Economics, Elsevier, vol. 104(C).
- Joseph P Byrne & Ryuta Sakemoto & Bing Xu, 2020.
"Commodity price co-movement: heterogeneity and the time-varying impact of fundamentals [Oil price shocks and the stock market: evidence from Japan],"
European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 47(2), pages 499-528.
- Byrne, Joseph P & Sakemoto, Ryuta & Xu, Bing, 2017. "Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals," MPRA Paper 80791, University Library of Munich, Germany.
- Bonnier, Jean-Baptiste, 2021. "Speculation and informational efficiency in commodity futures markets," Journal of International Money and Finance, Elsevier, vol. 117(C).
- Libo Yin & Qingyuan Yang & Zhi Su, 2017. "Predictability of structural co-movement in commodity prices: the role of technical indicators," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 795-812, May.
- Jean-Baptiste Bonnier, 2021. "Speculation and informational efficiency in commodity futures markets," Post-Print hal-04299220, HAL.
- Caldara, Dario & Cavallo, Michele & Iacoviello, Matteo, 2019.
"Oil price elasticities and oil price fluctuations,"
Journal of Monetary Economics, Elsevier, vol. 103(C), pages 1-20.
- Dario Caldara & Michele Cavallo & Matteo Iacoviello, 2016. "Oil Price Elasticities and Oil Price Fluctuations," International Finance Discussion Papers 1173, Board of Governors of the Federal Reserve System (U.S.).
- Jorge Lorca, 2021. "Capital Flows and Emerging Markets Fluctuations," Working Papers Central Bank of Chile 898, Central Bank of Chile.
- Bakas, Dimitrios & Triantafyllou, Athanasios, 2018.
"The impact of uncertainty shocks on the volatility of commodity prices,"
Journal of International Money and Finance, Elsevier, vol. 87(C), pages 96-111.
- Dimitrios Bakas & Athanasios Triantafyllou, 2017. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," Working Paper series 17-31, Rimini Centre for Economic Analysis.
- Dimitrios Bakas & Athanasios Triantafyllou, 2018. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," NBS Discussion Papers in Economics 2018/02, Economics, Nottingham Business School, Nottingham Trent University.
- Batista Soares, David & Borocco, Etienne, 2022. "Rational destabilization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
- Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023. "Financial stress and commodity price volatility," Energy Economics, Elsevier, vol. 125(C).
- Fry-McKibbin, Renée & McKinnon, Kate, 2023. "The evolution of commodity market financialization: Implications for portfolio diversification," Journal of Commodity Markets, Elsevier, vol. 32(C).
- Leila Dagher & Ibrahim Jamali & Nasser Badra, 2020.
"The Predictive Power of Oil and Commodity Prices for Equity Markets,"
World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi (ed.), Risk Factors and Contagion in Commodity Markets and Stocks Markets, chapter 3, pages 47-82,
World Scientific Publishing Co. Pte. Ltd..
- Dagher, Leila & Jamali, Ibrahim & badra, nasser, 2018. "The Predictive Power of Oil and Commodity Prices for Equity Markets," MPRA Paper 116055, University Library of Munich, Germany.
- Papenfuß, Patric & Schischke, Amelie & Rathgeber, Andreas, 2025. "Factors of predictive power for metal commodities," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
- Czudaj, Robert L., 2019.
"Crude oil futures trading and uncertainty,"
Energy Economics, Elsevier, vol. 80(C), pages 793-811.
- Robert Czudaj, 2019. "Crude oil futures trading and uncertainty," Chemnitz Economic Papers 027, Department of Economics, Chemnitz University of Technology, revised Jan 2019.
- Amelie Schischke & Patric Papenfuß & Andreas Rathgeber, 2024. "The three co’s to jointly model commodity markets: co-production, co-consumption and co-trading," Empirical Economics, Springer, vol. 66(2), pages 883-925, February.
- Derek Bunn, Julien Chevallier, Yannick Le Pen, and Benoit Sevi, 2017.
"Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
- Derek Bunn & Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2017. "Fundamental and Financial Influences on the Co-movement of Oil and Gas prices," Post-Print hal-01619890, HAL.
More about this item
Keywords
; ; ;JEL classification:
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
- G1 - Financial Economics - - General Financial Markets
Statistics
Access and download statisticsCorrections
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:eee:jocoma:v:38:y:2025:i:c:s2405851325000170. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jcomm .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.