Commodities and financial variables: Analyzing relationships in a changing regime environment

Ramaprasad Bhar and Shawkat Hammoudeh

International Review of Economics & Finance, 2011, vol. 20, issue 4, 469-484

Abstract: This paper examines the dynamic interrelationships among four highly internationally traded commodities, oil, copper, gold and silver and three commodity-relevant financial variables including short-run interest rate, exchange rate and the world equity index. We explore these interrelationships using weekly time series in a regime switching environment. The results clearly show that the interrelationships are not only regime-dependent but there is also predictive information on those relationships across the two regimes classified by the level of uncertainties. The findings are likely to be of interest to both investors and policy makers. Contrary to other related studies, the results point to mixed evidence of directional relationships between these widely traded individual commodities and macro-financial variables, depending on the regimes.

Keywords: Multivariate; Markov; switching; Regime-dependency; Commodities; Financial; variables (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (41)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:20:y:2011:i:4:p:469-484

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