Financialization, crisis and commodity correlation dynamics
Author
Abstract
Suggested Citation
DOI: 10.1016/j.intfin.2012.11.007
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Annastiina Silvennoinen & Susan Thorp, 2010. "Financialization, Crisis and Commodity Correlation Dynamics," Research Paper Series 267, Quantitative Finance Research Centre, University of Technology, Sydney.
References listed on IDEAS
- Cheung, C. Sherman & Miu, Peter, 2010. "Diversification benefits of commodity futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 451-474, December.
- Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006.
"Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns,"
Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572.
- Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank.
- Tom Doan, "undated". "RATS program to estimate various forms of DCC GARCH models," Statistical Software Components RTZ00174, Boston College Department of Economics.
- Vivian, Andrew & Wohar, Mark E., 2012. "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 395-422.
- Annastiina Silvennoinen & Timo Teräsvirta, 2009.
"Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model,"
Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 373-411, Fall.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers 2008-05, Department of Economics and Business Economics, Aarhus University.
- Angus Deaton & Guy Laroque, 1992.
"On the Behaviour of Commodity Prices,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 59(1), pages 1-23.
- Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Development Studies.
- Angus Deaton & Guy Laroque, 1990. "On The Behavior of Commodity Prices," NBER Working Papers 3439, National Bureau of Economic Research, Inc.
- Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Public and International Affairs.
- Jeffrey A Frankel & Andrew K Rose, 2010.
"Determinants of Agricultural and Mineral Commodity Prices,"
RBA Annual Conference Volume (Discontinued), in: Renée Fry & Callum Jones & Christopher Kent (ed.),Inflation in an Era of Relative Price Shocks,
Reserve Bank of Australia.
- Frankel, Jeffrey & Rose, Andrew K., 2010. "Determinants of Agricultural and Mineral Commodity Prices," Working Paper Series rwp10-038, Harvard University, John F. Kennedy School of Government.
- Frankel, Jeffrey A. & Rose, Andrew K., 2010. "Determinants of Agricultural and Mineral Commodity Prices," Scholarly Articles 4450126, Harvard Kennedy School of Government.
- 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.
- Vansteenkiste, Isabel, 2009. "How important are common factors in driving non-fuel commodity prices? A dynamic factor analysis," Working Paper Series 1072, European Central Bank.
- Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2015.
"Convective Risk Flows in Commodity Futures Markets,"
Review of Finance, European Finance Association, vol. 19(5), pages 1733-1781.
- Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2012. "Convective Risk Flows in Commodity Futures Markets," NBER Working Papers 17921, 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.
- Ke Tang & Wei Xiong, 2012.
"Index Investment and the Financialization of Commodities,"
Financial Analysts Journal, Taylor & Francis Journals, vol. 68(6), pages 54-74, November.
- Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
- Murray Carlson & Zeigham Khokher & Sheridan Titman, 2007.
"Equilibrium Exhaustible Resource Price Dynamics,"
Journal of Finance, American Finance Association, vol. 62(4), pages 1663-1703, August.
- Murray Carlson & Zeigham Khokher & Sheridan Titman, 2006. "Equilibrium Exhaustible Resource Price Dynamics," NBER Working Papers 12000, National Bureau of Economic Research, Inc.
- Coudert, Virginie & Gex, Mathieu, 2008.
"Does risk aversion drive financial crises? Testing the predictive power of empirical indicators,"
Journal of Empirical Finance, Elsevier, vol. 15(2), pages 167-184, March.
- Virginie Coudert & Mathieu Gex, 2007. "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators," Working Papers 2007-02, CEPII research center.
- 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.
- Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2011.
"What Segments Equity Markets?,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(12), pages 3841-3890.
- Geert Bekaert & Campbell R. Harvey & Christian Lundblad & Stephan Siegel, 2009. "What Segments Equity Markets?," NBER Working Papers 14802, National Bureau of Economic Research, Inc.
- Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2010. "What Segments Equity Markets?," NBP Working Papers 76, Narodowy Bank Polski.
- Harvey, Campbell & Bekaert, Geert & Lundblad, Christian T & Siegel, Stephan, 2010. "What Segments Equity Markets?," CEPR Discussion Papers 8142, C.E.P.R. Discussion Papers.
- Annastiina Silvennoinen & Timo Ter�svirta, 2015.
"Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 174-197, February.
- Annastiina Silvennoinen & Timo Teräsvirta, 2012. "Modelling conditional correlations of asset returns: A smooth transition approach," CREATES Research Papers 2012-09, Department of Economics and Business Economics, Aarhus University.
- Pindyck, Robert S, 1993.
"The Present Value Model of Rational Commodity Pricing,"
Economic Journal, Royal Economic Society, vol. 103(418), pages 511-530, May.
- Pindyck, Robert S., 1991. "The present value model of rational commodity pricing," Working papers 3354-91., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert S. Pindyck, 1992. "The Present Value Model of Rational Commodity Pricing," NBER Working Papers 4083, National Bureau of Economic Research, Inc.
- Tse, Y K & Tsui, Albert K C, 2002. "A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 351-362, July.
- Hong, Harrison & Yogo, Motohiro, 2012.
"What does futures market interest tell us about the macroeconomy and asset prices?,"
Journal of Financial Economics, Elsevier, vol. 105(3), pages 473-490.
- Harrison Hong & Motohiro Yogo, 2011. "What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?," NBER Working Papers 16712, National Bureau of Economic Research, Inc.
- Pelletier, Denis, 2006.
"Regime switching for dynamic correlations,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
- Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
- Bryan R. Routledge & Duane J. Seppi & Chester S. Spatt, 2000.
"Equilibrium Forward Curves for Commodities,"
Journal of Finance, American Finance Association, vol. 55(3), pages 1297-1338, June.
- Bryan Routledge & Duane Seppi & Chester Spatt, "undated". "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-50, Carnegie Mellon University, Tepper School of Business.
- Bryan Routledge & Duane Seppi & Chester Spatt, "undated". "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-49, Carnegie Mellon University, Tepper School of Business.
- Daskalaki, Charoula & Skiadopoulos, George, 2011. "Should investors include commodities in their portfolios after all? New evidence," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2606-2626, October.
- Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
- Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," The Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-844.
- Dietrich Domanski & Alexandra Heath, 2007. "Financial investors and commodity markets," BIS Quarterly Review, Bank for International Settlements, March.
- Wai Mun Fong & Kim Hock See, 2001. "Modelling the conditional volatility of commodity index futures as a regime switching process," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 133-163.
- Jörg Mayer, 2009. "The Growing Interdependence Between Financial And Commodity Markets," UNCTAD Discussion Papers 195, United Nations Conference on Trade and Development.
- V. Coudert & M. Gex, 2008. "Does risk aversion drive financial crises? Testing the predictive power of empirical indicators," Post-Print halshs-00321667, HAL.
- Albert S. Kyle & Wei Xiong, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, vol. 56(4), pages 1401-1440, August.
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.- Annastiina Silvennoinen & Susan Thorp, 2016.
"Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 522-544, June.
- Annastiina Silvennoinen & Susan Thorp, 2015. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," NCER Working Paper Series 109, National Centre for Econometric Research.
- Gao, Lin & Süss, Stephan, 2015. "Market sentiment in commodity futures returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 84-103.
- 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.
- Charlot, Philippe & Darné, Olivier & Moussa, Zakaria, 2016.
"Commodity returns co-movements: Fundamentals or “style” effect?,"
Journal of International Money and Finance, Elsevier, vol. 68(C), pages 130-160.
- Philippe Charlot & Olivier Darné & Zakaria Moussa, 2014. "Commodity returns co-movements: Fundamentals or "style" effect?," Working Papers hal-01093631, HAL.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007.
"Multivariate GARCH models,"
SSE/EFI Working Paper Series in Economics and Finance
669, Stockholm School of Economics, revised 18 Jan 2008.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
- Yannick Le Pen & Benoît Sévi, 2013.
"Futures Trading and the Excess Comovement of Commodity Prices,"
Working Papers
halshs-00793724, HAL.
- Yannick Le Pen & Benoît Sévi, 2018. "Futures Trading and the Excess Co-movement of Commodity Prices," Post-Print hal-01731459, HAL.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," AMSE Working Papers 1301, Aix-Marseille School of Economics, France, revised Jan 2013.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Post-Print hal-01613916, HAL.
- Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Working Papers 2013-19, Department of Research, Ipag Business School.
- Pinto-Ávalos, Francisco & Bowe, Michael & Hyde, Stuart, 2024. "Revisiting the pricing impact of commodity market spillovers on equity markets," Journal of Commodity Markets, Elsevier, vol. 33(C).
- 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.
- repec:dau:papers:123456789/11382 is not listed on IDEAS
- Lee, Hsiang-Tai, 2022. "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, vol. 50(C).
- 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.
- OHASHI Kazuhiko & OKIMOTO Tatsuyoshi, 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.
- Ordu, Beyza Mina & Oran, Adil & Soytas, Ugur, 2018. "Is food financialized? Yes, but only when liquidity is abundant," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 82-96.
- Sercan Demiralay & Selcuk Bayraci & H. Gaye Gencer, 2019. "Time-varying diversification benefits of commodity futures," Empirical Economics, Springer, vol. 56(6), pages 1823-1853, June.
- Sofiane Aboura & Julien Chevallier, 2014.
"Cross‐market spillovers with ‘volatility surprise’,"
Review of Financial Economics, John Wiley & Sons, vol. 23(4), pages 194-207, November.
- Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market spillovers with ‘volatility surprise’," Review of Financial Economics, Elsevier, vol. 23(4), pages 194-207.
- Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris Nanterre, EconomiX.
- Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Working Papers halshs-01052488, HAL.
- Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Post-Print hal-01529770, HAL.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013.
"Financial Risk Measurement for Financial Risk Management,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220,
Elsevier.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
- Charlotte Christiansen, 2010.
"Decomposing European bond and equity volatility,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 105-122.
- Christiansen, Charlotte, 2005. "Decomposing European bond and equity volatility," Finance Research Group Working Papers F-2004-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Charlotte Christiansen, 2007. "Decomposing European Bond and Equity Volatility," CREATES Research Papers 2007-06, Department of Economics and Business Economics, Aarhus University.
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013.
"Multivariate Volatility Modeling Of Electricity Futures,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
- Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
- Annastiina Silvennoinen & Timo Teräsvirta, 2009.
"Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model,"
Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 373-411, Fall.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers 2008-05, Department of Economics and Business Economics, Aarhus University.
- Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Syed Ali, 2018. "Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach," Resources Policy, Elsevier, vol. 57(C), pages 10-29.
- Davide, Marinella & Vesco, Paola, 2016.
"Alternative Approaches for Rating INDCs: a Comparative Analysis,"
MITP: Mitigation, Innovation and Transformation Pathways
232716, Fondazione Eni Enrico Mattei (FEEM).
- Marinella Davide & Paola Vesco, 2016. "Alternative Approaches for Rating INDCs: a Comparative Analysis," Working Papers 2016.18, Fondazione Eni Enrico Mattei.
More about this item
Keywords
Smooth transition; Financial integration; Global financial crisis;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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:intfin:v:24:y:2013:i:c:p:42-65. 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: https://www.elsevier.com/locate/intfin .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.