Commodities spillover effect in the United States: Insight from the housing, energy, and agricultural commodity markets

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dc.authorscopusid57202608331
dc.authorscopusid57195962410
dc.contributor.authorAlola, Andrew Adewale
dc.contributor.authorAlola, Uju Violet
dc.date.accessioned2024-09-11T19:58:55Z
dc.date.available2024-09-11T19:58:55Z
dc.date.issued2021
dc.departmentİstanbul Gelişim Üniversitesien_US
dc.description.abstractThe 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.en_US
dc.identifier.doi10.1016/B978-0-12-824440-1.00013-8
dc.identifier.endpage172en_US
dc.identifier.isbn978-012824441-8en_US
dc.identifier.isbn978-012824440-1en_US
dc.identifier.scopus2-s2.0-85127985815en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.startpage149en_US
dc.identifier.urihttps://doi.org/10.1016/B978-0-12-824440-1.00013-8
dc.identifier.urihttps://hdl.handle.net/11363/8583
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofEnergy-Growth Nexus in an Era of Globalizationen_US
dc.relation.publicationcategoryKitap Bölümü - Uluslararasıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.snmz20240903_Gen_US
dc.subjectAgricultural commodities; Commodity market; Energy market; Housing market; Q130; Q470; R330; Returns spillover; Volatility spilloveren_US
dc.titleCommodities spillover effect in the United States: Insight from the housing, energy, and agricultural commodity marketsen_US
dc.typeBook Chapteren_US

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