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Economic cycles and downside commodities risk

Robert Powell, Duc Vo () and Thach Pham ()

Applied Economics Letters, 2018, vol. 25, issue 4, 258-263

Abstract: We de-compose the S&P Goldman Sachs Commodity Index into its underlying commodity sub-categories and develop a modified conditional value at risk (CVaR) metric to examine downside risk linked to economic periods which are classified by their GDP growth as green, yellow, orange and red. We term this new metric economic CVaR (ECVaR). We found significant differences in the relative ECVaR rankings of different commodities over our different economic cycles.

Date: 2018
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Handle: RePEc:taf:apeclt:v:25:y:2018:i:4:p:258-263