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Volatility spillovers in commodity markets

Ielpo, Florian; Chevallier, Julien (2013), Volatility spillovers in commodity markets, Applied Economics Letters, 20, 13, p. 1211-1227. http://dx.doi.org/10.1080/13504851.2013.799748

Type
Article accepté pour publication ou publié
Date
2013-09
Journal name
Applied Economics Letters
Volume
20
Number
13
Publisher
Taylor & Francis
Pages
1211-1227
Publication identifier
http://dx.doi.org/10.1080/13504851.2013.799748
Metadata
Show full item record
Author(s)
Ielpo, Florian
Chevallier, Julien
Abstract (EN)
This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold and Yilmaz (2012). By using a broad data set during 1995–2012, we address three key research questions: are there volatility spillovers within commodities? between standard assets and commodities? between commodities and commodity currencies? The main results indicate first that commodities exhibit weaker than other asset classes volatility spillovers. These spillovers have, however, been increasing over the period. Second, agricultural commodities are the commodities exhibiting the lowest spillovers, whereas precious metals and energy are the biggest net contributors. In a diversified portfolio, including commodities – and especially agricultural products – helps decreasing the total spillover index. This stylized fact has, however, been less and less valid over the years. Third, some currencies are more responsive than others to commodity volatility spillovers.
Subjects / Keywords
Volatility spillovers; commodities; stocks; bonds; exchange rates
JEL
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
C58 - Financial Econometrics
G10 - General
Q02 - Commodity Markets

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