Behmiri, Niaz
[VerfasserIn]
;
Manera, Matteo
[Sonstige Person, Familie und Körperschaft];
Nicolini, Marcella
[Sonstige Person, Familie und Körperschaft]
Understanding Dynamic Conditional Correlations between Commodities Futures Markets
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 8, 2016 erstellt
Beschreibung:
We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic variables are significantly correlated with agriculture-energy and metals-energy dynamic conditional correlations; while financial variables are relevant in the agriculture-energy correlations and poorly significant in the metals-energy ones. Speculative activity is generally not statistically significant. Correlations started increasing in the years before the financial crisis and decreased at the end of our period of analysis