Short- and Long-Run Determinants of Commodity Price Volatility
To explain price volatility in the U.S. agricultural, energy, and metal futures markets, we estimate a model of common and commodity-specific, high- and low-frequency factors by building on the spline-GARCH model of Engle and Rangel (2008). A better model fit results from allowing the unconditional variance to slowly change over time. Moreover, the persistence of volatility shocks is shown to be much weaker than what standard GARCH models imply. Combining the volatility results with monthly macroeconomic indicator data, we find that decomposing realized volatility into high- and low-frequency components better reveals the impact of slowly-evolving aggregate variables on price volatility. Moreover, over the period 1990--2005, most of the macroeconomic variables had similar effects within the same commodity category (e.g. grain), but their effects differed across commodity groups (e.g. grain versus livestock). Over the period 2006--2009, however, commodity-specific factors dominated common factors. Copyright 2013, Oxford University Press.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 95 (2013)
Issue (Month): 3 ()
|Contact details of provider:|| Postal: 555 East Wells Street, Suite 1100, Milwaukee, Wisconsin 53202|
Phone: (414) 918-3190
Fax: (414) 276-3349
Web page: http://www.aaea.org/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:oup:ajagec:v:95:y:2013:i:3:p:724-738. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.