EconPapers    
Economics at your fingertips  
 

Macro factors and the realized volatility of commodities: A dynamic network analysis

Min Hu, Dayong Zhang (), Qiang Ji () and Lijian Wei

Resources Policy, 2020, vol. 68, issue C

Abstract: This paper explores the relationship between macro-factors and the realized volatility of commodity futures. Three main commodities—soybeans, gold and crude oil—are investigated using high-frequency data. For macro factors, we select six indicators including economic policy uncertainty (EPU), the economic surprise index (ESI), default spread (DEF), the investor sentiment index (SI), the volatility index (VIX), and the geopolitical risk index (GPR). These indicators represent three dimensions from macroeconomics and capital markets to a broader geopolitical dimension. Through establishing a dynamic connectedness network, we show how these macro factors contribute to the volatility fluctuations in commodity markets. The results demonstrate clearly distinctive features in the reaction to macro shocks across different commodities. Crude oil and gold, for example, are more reactive to market sentiment, whereas DEF contributes the most to the realized volatility of soybeans. Macroeconomic factors and geopolitical risks are more relevant to crude oil volatilities compare to the other two. Our empirical results also reveal the fact that the macro influence on the realized volatility of commodities is time varying.

Keywords: Commodity prices; Dynamic network; High-frequency data; Macro factors; Realized volatility (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420720303718
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:68:y:2020:i:c:s0301420720303718

DOI: 10.1016/j.resourpol.2020.101813

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 ().

 
Page updated 2021-10-03
Handle: RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720303718