Arbeitspapier
Common Drivers of Commodity Futures?
We study potential drivers for a large cross-section of commodity futures. Unlike previous studies, we examine the effect of monthly drivers on daily returns using mixed-frequency Granger causality tests. We find real economic activity as a main driver on a monthly basis, whereas financial variables seem to affect returns at daily frequency. The linkages are time-varying for various stages of the financialization of commodity markets with an overall dissipating impact in the recent period of de-financialization. As our results strongly differ from traditional low-frequency Granger causality tests under the temporal aggregation of futures returns, we show the economic value of accessing information at a higher frequency in an out-of-sample trading study. Our findings emphasize the importance of using mixed-frequency techniques to uncover relationships between monthly-published macroeconomic variables and commodity prices.
- Language
-
Englisch
- Bibliographic citation
-
Series: QMS Research Paper ; No. 2022/05
- Classification
-
Wirtschaft
Financial Econometrics
Financial Forecasting and Simulation
Commodity Markets
- Subject
-
Commodity futures
VAR
Granger causality
Mixed data sampling
- Event
-
Geistige Schöpfung
- (who)
-
Dudda, Tom L.
Klein, Tony
Nguyen, Duc Khuong
Walther, Thomas
- Event
-
Veröffentlichung
- (who)
-
Queen's University Belfast, Queen's Management School
- (where)
-
Belfast
- (when)
-
2022
- DOI
-
doi:10.2139/ssrn.4231994
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Dudda, Tom L.
- Klein, Tony
- Nguyen, Duc Khuong
- Walther, Thomas
- Queen's University Belfast, Queen's Management School
Time of origin
- 2022