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Title: Macro news and commodity returns
Authors: Caporale, GM
Spagnolo, F
Spagnolo, N
Keywords: Macro news;Commodity prices;VAR-GARCH model
Issue Date: 2017
Publisher: Wiley
Citation: International Journal of Finance and Economics, (2017)
Abstract: This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen specification also controls for the effect of the exchange rate. The results can be summarised as follows. Mean spillovers running from news to commodity returns are positive with the exception of Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment linkages are stronger in the post-September 2008 period. Overall, our findings confirm that commodities, despite not being financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis has strengthened such linkages.
ISSN: 1099-1158
Appears in Collections:Dept of Economics and Finance Research Papers

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