Impact of speculation and economic uncertainty on commodity markets

被引:120
作者
Andreasson, Pierre
Bekiros, Stelios
Duc Khuong Nguyen
Uddin, Gazi Salah
机构
[1] Linköping
[2] 184, Boulevard Saint-Germain, Paris
[3] Via della Piazzuola 43, Florence
[4] 76 Patission str., Athens
基金
欧盟地平线“2020”;
关键词
Commodity markets; Economic uncertainty; Nonlinear causality; Step-wise filtering; EXCHANGE-RATES; STOCK MARKETS; CAUSAL RELATIONSHIPS; NONLINEAR CAUSALITY; GRANGER CAUSALITY; FUTURES PRICES; CO-MOVEMENT; OIL; COINTEGRATION; VOLATILITY;
D O I
10.1016/j.irfa.2015.11.005
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We examine the interactions between commodity futures returns and five driving factors (financial speculation, exchange rate, stock market dynamics, implied volatility for the US equity market, and economic policy uncertainty). Nonlinear causality tests are implemented after controlling for cointegration and conditional heteroscedasticity in the data over the period May 1990 - April 2014. Our results show strong evidence of unidirectional linear causality from commodity returns to excess speculation for the majority of the considered commodities, in particular for agriculture commodities. This evidence casts doubt on the claim that speculation is driving food prices. We also find unidirectional linear causality from energy futures markets to exchange rates and strong evidence of nonlinear causal dependence between commodity futures returns, on the one hand, and stock market returns and implied volatility, on the other hand. Overall, the new evidence found in this paper can be utilized for policy and investment decision-making. (C) 2015 Elsevier Inc. All rights reserved.
引用
收藏
页码:115 / 127
页数:13
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