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

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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

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