The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets

Menelaos Karanasos, Stavroula Yfanti and Jiaying Wu

Journal of Commodity Markets, 2025, vol. 38, issue C

Abstract: We study the dynamic interdependence between stocks, a risky and financial ‘by definition’ asset class, and the ‘financialised’ assets from the real estate and commodity markets. We first introduce a new multivariate corrected Dynamic Conditional Correlations Mixed-Data Sampling (cDCC-MIDAS) model through which we analyse short- and long-run time-varying correlation dynamics among stocks, real estate, and five commodity types with direct implications for risk management and portfolio optimisation. The correlation analysis identifies short- and long-run hedging properties and interdependence types and concludes on strong countercyclical cross-asset interlinkages, highly dependent on the state of the economy in most cases (contagion effects) and weak procyclical connectedness for certain safe-haven assets (flight-to-quality). We further investigate the macro-relevance and crisis-vulnerability of the correlations’ evolution by unveiling the macro-determinants of asset co-movements. The economic environment plays a key role as a contagion or flight-to-quality transmitter, outweighing the effects of economic linkages among assets, while the uncertainty channel intensifies the macro impact on the cross-asset nexus.

Keywords: Contagion; Corrected-DCC-MIDAS; Cross-asset co-movements; Economic policy uncertainty; Flight-to-quality (search for similar items in EconPapers)
JEL-codes: C32 D80 E44 G15 Q02 R33 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000066

DOI: 10.1016/j.jcomm.2025.100462

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