Macro News and Commodity Returns

Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo

No 1508, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen specification also controls for the effect of the exchange rate. The results can be summarised as follows. Mean spillovers running from news to commodity returns are positive with the exception of Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment linkages are stronger in the post-September 2008 period. Overall, our findings confirm that commodities, despite not being financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis has strengthened such linkages.

Keywords: Macro news; Commodity Prices; VAR-GARCH model (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Pages: 19 p.
Date: 2015
New Economics Papers: this item is included in nep-agr
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Macro News and Commodity Returns (2017)
Working Paper: Macro News and Commodity Returns (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp1508

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