Extreme price co-movement of commodity futures and industrial production growth: An empirical evaluation

Xiaoqian Wen, Yuxin Xie and Athanasios A. Pantelous

Energy Economics, 2022, vol. 108, issue C

Abstract: This paper studies how the extreme price co-movement of commodity futures indicates industrial production (IP) growth. In this regard, we model synchronized movements and large price changes into one measure by characterizing upside and downside price extremes. We find that the derived price extremes are positively associated with IP growth over the next quarter. We further conclude that such impact is not symmetric, as the impact led by downside extremes is robust whereas that of upside extremes is not. Our results reinforce the informational friction theory as well as those financial studies that emphasize downside risk.

Keywords: Extreme price co-movement; Commodity futures; Industrial production growth; GAS-factor copula; Panel regressions (search for similar items in EconPapers)
JEL-codes: D80 G10 G15 Q02 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000950

DOI: 10.1016/j.eneco.2022.105915

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