Commodities spillover effect in the United States: Insight from the housing, energy, and agricultural commodity markets
[ N/A ]
Tarih
2021
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
The likelihood of information transmission among the commodity markets and within a market component has continued to offer useful knowledge for underpinning the mechanism of avoiding a market-induced financial crisis. In this light, we examine the measurement of return and volatility spillovers among the United States market components: Crude oil West Texas Intermediate and Brent (energy market), real estate investment trust (the housing market), and the wheat, corn, and soybeans (agricultural commodities). Using the novel approach of Diebold and Yilmaz (2012) for the sample period January 20, 2012 to August 2, 2018, the findings suggest the following empirical regularities. First, although low in magnitude, there is return and volatility shock transmissions among the components of the markets (housing market, energy market, and the agricultural commodities). Second, among the market components, the total net volatility spillovers is higher than the total net returns. Lastly, with a smaller sample size, the total net vitality spillovers is higher than the investigated full sample size. Moreover, our investigation further reveals significant evidence of pairwise directional volatility spillovers. In term of policy for stakeholders, the findings (indication from the pairwise directional spillovers) suggest the perception of market hedging as an effective framework. © 2022 Elsevier Inc. All rights reserved.
Açıklama
Anahtar Kelimeler
Agricultural commodities; Commodity market; Energy market; Housing market; Q130; Q470; R330; Returns spillover; Volatility spillover
Kaynak
Energy-Growth Nexus in an Era of Globalization
WoS Q Değeri
Scopus Q Değeri
N/A
