Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach

Balcılar, Mehmet; Gabauer, David; Umar, Zaghum

doi:10.1016/j.resourpol.2021.102219

Cited by 221 publications

(101 citation statements)

References 96 publications

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“…Regarding the relationship between the market of agricultural futures and other commodities markets, Balcilar et al (2021) examined the connectedness of eleven agricultural commodity and Crude Oil futures prices: Findings reveal that Crude Oil, Grains, Livestock, Sugar, and Soybean Oil are the main net transmitters of shocks. On the other hand, Corn, Lean Hogs, Soybeans, Cattle, and Wheat are the main receivers of shocks.…”

Section: Literature Reviewmentioning

confidence: 99%

Directional predictability between trading volume and price returns in the agricultural futures markets: risk implications for traders

Panagiotou

Tseriki

2022

JRF

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PurposeThe cross-quantilogram analysis is employed. The latter can assess the temporal association between two stationary time series at different parts of their joint distribution. Data are daily prices and trading volumes from the futures markets of five agricultural commodities, namely, corn, hard red wheat, oats, rice and soybeans.Design/methodology/approachThe objective to the present work is to investigate for directional predictability between returns and volume (and vice versa) in the futures markets of agricultural commodities.FindingsThe empirical results reveal evidence, weak as well as strong, that extreme low values of returns are likely to lead high levels of volume. There is also weak evidence that extreme low values of volume are likely to precede high values of returns, except for the futures markets of oats where there is very strong evidence that low values of volume are likely to lead high values of returns. For the commodity of soybeans, there is very strong evidence that extreme high levels of volume are likely to lead high values of returns, but they are very short lived.Research limitations/implicationsAgricultural futures have been recently characterized by increased volatility leading hedgers to be looking for diversification. The present findings suggest that when price crashes occur, investors who suffer losses wish to sell, increasing this way the trading activity. Concurrently, the results reveal that extreme low levels of trading volume might signal a possible price turn around for traders.Originality/valueThis is the first study that employs the quantilogram approach in order to investigate for potential predictability from returns to volume and from volume to returns, in the futures markets of agricultural commodities.

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Section: Literature Reviewmentioning

confidence: 99%

Directional predictability between trading volume and price returns in the agricultural futures markets: risk implications for traders

Panagiotou

Tseriki

2022

JRF

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“…Globalization along with financialization has led to strongly connected financial markets via various channels, which propels expeditious risk propagation during financial imbalance periods. In this context, a strand of literature focuses on financial contagion during turbulence times and detect intensified connectedness between financial indicators (Billio et al, 2012;Cimini, 2015;Singh et al, 2018;Gong et al, 2019;Bagheri & Ebrahimi, 2020;Balcılar et al, 2021).…”

Section: Related Literaturementioning

confidence: 99%

Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach

Polat

2021

WJAE

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This work analyzes the frequency-dependent network structure of Economic Policy Uncertainties (EPU) across G-7 countries between January 1998 and April 2021. We implement an approach that builds dynamic networks relying on a locally stationary Time-Varying Parameter-Vector Autoregressive model using Quasi-Bayesian Local Likelihood methods. We compute short-, medium-, and long-term network connectedness of G-7 EPUs over a period covering several economic/financial turmoils. Furthermore, we structure short-term network topologies for the Global Financial Crisis (GFC) and the COVID-19 pandemic periods. Findings of the study indicate amplified interdependencies between G-7 EPUs around well-known economic/geopolitical incidents, frequency-dependent connectedness networks among them, and stronger interdependencies than the medium-, and long-term linkages. Finally, we find that short-term spillovers are not persistent in the long-term for both turmoil periods.

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“…In this context, it is worth mentioning at least the three following events: the Dot.Com crisis, the global financial crisis (GFC) of 2007 and 2008, and the current Covid-19-triggered economic meltdown. In spite of enhanced risk management techniques and increased regulatory scrutiny, the nowadays-globalized nature and interconnectedness of diverse financial markets across the most diversified geographies and asset classes makes them inherently vulnerable from macroeconomics and complexity science perspectives (Balcilar et al, 2021 ; Gomes & Gubareva, 2020 ; Naeem et al, 2020 ; Zaremba et al, 2021 ). The above-mentioned crises as well as the imminence of future crises to come serve as a motivational basis for a vast body of empirical and theoretical literature examining various aspects of cross-market, cross-assets, cross-sectorial, and cross-regional interrelations with a special focus on systemic risk factors.…”

Section: Introductionmentioning

confidence: 99%

Oil price shocks and the term structure of the US yield curve: a time–frequency analysis of spillovers and risk transmission

et al. 2022

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This paper investigates the influence of oil demand, oil supply, and risk-driven shocks on the yield curve in the US between 1995 and 2020. The US term-structure shape is modeled by three structural factors, the level, slope, and curvature. Their empirical analysis is performed according to the Diebold-Li modified variant of the widely used Nelson-Siegel model. The technique of wavelet analysis allows investigating the interrelation of shocks in oil prices and the US yield curve along time and frequency domains, simultaneously. We report on low, medium, and high coherence zones, relative to the oil price movements and the changes in the three yield-curve factors. The low coherence intervals indicate the potential for the three latent factors to be used for creating diversification strategies capable of hedging adverse dynamics in the oil market, potentially workable through global crises. We document the variability of dynamic patterns observable for the US sovereign yield factors on per-type-of-shock basis, evidencing the potential role of the US sovereign debt investments for designing cross-asset hedge strategies for commodity and fixed-income markets.

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Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach

Cited by 221 publications

References 96 publications

Directional predictability between trading volume and price returns in the agricultural futures markets: risk implications for traders

Directional predictability between trading volume and price returns in the agricultural futures markets: risk implications for traders

Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach

Oil price shocks and the term structure of the US yield curve: a time–frequency analysis of spillovers and risk transmission

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