When US sneezes, clichés spread: How do the commodity index funds react then?

Kritika Awasthi, Wasim Ahmad, Abdul Rahman and B.V. Phani

Resources Policy, 2020, vol. 69, issue C

Abstract: This study examines the financialisation aspect of major commodities traded on the US market platforms. Our main aim is to measure the sensitivity of the Goldman Sachs Commodity Index (GSCI) and its sub-indices energy and precious metals: gold and silver, with economic uncertainty and financial stress of the US economy. We do this exercise in two steps. First, we examine the sensitivity of GSCI, and its sub-indices with the US-linked economic uncertainty, financial stress, and stock market implied volatility. In the second step, we introduce the implied volatilities of energy and precious metals and analyse their quantile-based causal dependence structure. The estimates of Granger-causality in quantiles suggest that the US-linked economic uncertainty, financial stress, and stock market implied volatility significantly explain the GSCI and its sub-indices at the lower and higher quantiles. Economic uncertainty exhibits stronger impact than financial stress. The comovement between stock market implied volatility and GSCI indices suggests the deepening of the financialisation process. Overall, the sensitivities and dependence structures of US economic and financial risk factors are better explained by the Quantile cointegration and Granger-causality in quantile models.

Keywords: Commodity derivatives; Economic policy uncertainty; Quantile causality; Financialisation (search for similar items in EconPapers)
JEL-codes: C31 C58 E44 G13 G23 Q43 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420720308898
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308898

DOI: 10.1016/j.resourpol.2020.101858

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().