EconPapers    
Economics at your fingertips  
 

Common Drivers of Commodity Futures?

Tom L. Dudda, Tony Klein, Duc Khuong Nguyen and Thomas Walther

No 2022/05, QBS Working Paper Series from Queen's University Belfast, Queen's Business School

Abstract: We study potential drivers for a large cross-section of commodity futures. Unlike previous studies, we examine the effect of monthly drivers on daily returns using mixed-frequency Granger causality tests. We find real economic activity as a main driver on a monthly basis, whereas financial variables seem to affect returns at daily frequency. The linkages are time-varying for various stages of the financialization of commodity markets with an overall dissipating impact in the recent period of de-financialization. As our results strongly differ from traditional low-frequency Granger causality tests under the temporal aggregation of futures returns, we show the economic value of accessing information at a higher frequency in an out-of-sample trading study. Our findings emphasize the importance of using mixed-frequency techniques to uncover relationships between monthly-published macroeconomic variables and commodity prices.

Keywords: Commodity futures; VAR; Granger causality; Mixed data sampling (search for similar items in EconPapers)
JEL-codes: C58 G17 Q02 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/271260/1/qms-rp2022-05.pdf (application/pdf)

Related works:
Working Paper: Common Drivers of Commodity Futures? (2022) Downloads
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:zbw:qmsrps:202205

DOI: 10.2139/ssrn.4231994

Access Statistics for this paper

More papers in QBS Working Paper Series from Queen's University Belfast, Queen's Business School Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2025-03-22
Handle: RePEc:zbw:qmsrps:202205