The Dynamic Correlation Between Policy Uncertainty and Commodity Markets: A Wavelet Based Analysis

This article examines the volatility links between asset markets in India with specific reference to stock and commodity markets over a period of 12 years spanning from 2006 to 2018. By employing DCC-GARCH and BEKK-GARCH, we show that the dynamic correlation between these asset markets have undergone significant changes especially after the financial crisis of 2008. The safe haven role of gold is clearly evidenced with the rising negative correlation between the two markets, while there is a rise in Crude oil volatility. Metals like Zinc, Nickel and Lead provide substantial diversification benefits to investors in the current market scenario as their correlation with the stock market have reduced considerably after 2013. There is no evidence for financialization of commodity markets in India unlike developed countries due to regulatory measures implemented by the government thereby providing investors with diversification opportunities.

Download Full-text

Spillover and Drivers of Uncertainty among Oil and Commodity Markets

Mathematics ◽

10.3390/math9040441 ◽

2021 ◽

Vol 9 (4) ◽

pp. 441

Author(s):

Muhammad Abubakr Naeem ◽

Saqib Farid ◽

Safwan Mohd Nor ◽

Syed Jawad Hussain Shahzad

Keyword(s):

Implied Volatility ◽

Global Financial Crisis ◽

Causal Effect ◽

Forecast Error ◽

Error Variance ◽

Commodity Markets ◽

Policy Uncertainty ◽

Volatility Risk ◽

Forecast Error Variance ◽

The Global Financial Crisis

The paper aims to examine the spillover of uncertainty among commodity markets using Diebold–Yilmaz approach based on forecast error variance decomposition. Next, causal impact of global factors as drivers of uncertainty transmission between oil and other commodity markets is analyzed. Our analysis suggests that oil is a net transmitter to other commodity uncertainties, and this transmission significantly increased during the global financial crisis of 2008–2009. The use of linear and nonlinear causality tests indicates that the global factors have a causal effect on the overall connectedness, and especially on the spillovers from oil to other commodity uncertainties. Further segregation of transmissions between oil to individual commodity markets indicates that stock market implied volatility, risk spread, and economic policy uncertainty are the influential drivers of connectedness among commodity markets.

Download Full-text

Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets: Evidence from rolling window analysis

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2021.101447 ◽

2021 ◽

Vol 57 ◽

pp. 101447

Author(s):

Huiming Zhu ◽

Weiyan Chen ◽

Liya Hau ◽

Qitong Chen

Keyword(s):

Economic Policy ◽

Crude Oil ◽

Commodity Markets ◽

Policy Uncertainty ◽

Economic Policy Uncertainty ◽

Time Frequency ◽

Window Analysis ◽

Rolling Window

Download Full-text

Dynamics of Co-movements among Implied Volatility, Policy Uncertainty and Market Performance

Global Business Review ◽

10.1177/0972150917713060 ◽

2017 ◽

Vol 18 (6) ◽

pp. 1478-1487 ◽

Cited By ~ 2

Author(s):

Mobeen Ur Rehman

Keyword(s):

Exchange Rate ◽

Stock Returns ◽

Implied Volatility ◽

Policy Uncertainty ◽

Market Returns ◽

Correlation Pattern ◽

Stock Market Returns ◽

Dynamic Correlation ◽

Volatility Index ◽

Exchange Rate Changes

This article examines the dynamic correlation among policy uncertainty, stock returns and implied volatility. The presence of a heterogeneous pattern during the financial crises period indicated significant dynamic correlation values with persistence. Extraneous variables, that is, exchange rate changes and oil prices, also influenced the dynamic correlation pattern between implied volatility index and stock market returns. Findings of this article suggest that the time-varying property exists among correlations and is sensitive to the financial turmoil and exchange rate changes.

Download Full-text

Policy uncertainty, interest rate environment and the dynamic correlation between sovereign and bank default risk

Economics Letters ◽

10.1016/j.econlet.2021.109983 ◽

2021 ◽

pp. 109983

Author(s):

Stephan Bales ◽

Hans-Peter Burghof

Keyword(s):

Interest Rate ◽

Default Risk ◽

Policy Uncertainty ◽

Dynamic Correlation ◽

Rate Environment

Download Full-text

Convergence of Corporate Governance Models

Voprosy Ekonomiki ◽

10.32609/0042-8736-2004-1-129-140 ◽

2004 ◽

pp. 129-140 ◽

Cited By ~ 1

Author(s):

M. Tretyakov

Keyword(s):

Corporate Governance ◽

Institutional Environment ◽

Driving Forces ◽

Commodity Markets ◽

Legal Systems ◽

National Institutions ◽

Governance Models ◽

Changing Role

The article focuses on the analysis of the process of convergence of outsider and insider models of corporate governance. Chief characteristics of basic and intermediate systems of corporate governance as well as the changing role of its main agents are under examination. Globalization of financial and commodity markets, convergence of legal systems, an open exchange of ideas and information are the driving forces of the convergence of basic systems of corporate governance. However the convergence does not imply the unification of institutional environment and national institutions of corporate governance.

Download Full-text