Economics at your fingertips  

Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model

Jason Angelopoulos, Satya Sahoo and Ilias D. Visvikis

Transportation Research Part E: Logistics and Transportation Review, 2020, vol. 133, issue C

Abstract: To the best of our knowledge, this is the first paper, to utilise a novel dynamic factor model to investigate the economic relationships between 65 commodity (including oil, energy, metal, ores, and agricultural products), maritime transportation (including tanker and dry bulk freight rates) and financial (including derivatives products) markets, under three different frequencies (daily, weekly and monthly) in a single methodological framework. The paper overcomes a limitation of the previous literature that uses pairwise models, and as such, informational cross-market relationships which may have been ignored or not captured are uncovered for the first time. Results indicate strong economic relationships from commodity to freight markets, with crude oil prices serving as the leading (price discovery) indicator among all the investigated markets, but also between different sub-markets. The results are important to international investors and traders, but also provide essential insights to policymakers and regulators, in terms of commercial strategies, asset positioning, network supply chain modelling, asset investment allocation, budgeting and risk management.

Keywords: Commodity and freight markets; Derivatives markets; Dynamic factor model; Price discovery; Leading indicators (search for similar items in EconPapers)
JEL-codes: C01 Q02 G32 C38 F37 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
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:

Ordering information: This journal article can be ordered from
http://www.elsevier. ... 600244/bibliographic

DOI: 10.1016/j.tre.2019.101836

Access Statistics for this article

Transportation Research Part E: Logistics and Transportation Review is currently edited by W. Talley

More articles in Transportation Research Part E: Logistics and Transportation Review from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2020-05-16
Handle: RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311081