2016
DOI: 10.1016/j.irfa.2015.11.005
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Impact of speculation and economic uncertainty on commodity markets

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Cited by 150 publications
(81 citation statements)
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References 31 publications
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“…The speculation finding aligns with the linear causality testing of Andreasson et al (2016), who find no causality in either direction between speculation and oil returns. In contrast though to our finding on economic uncertainty, Andreasson et al (2016) confirm a causal effect of this variable on oil returns. However, our result is found to be consistent for all maturities considered.…”
Section: Resultssupporting
confidence: 81%
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“…The speculation finding aligns with the linear causality testing of Andreasson et al (2016), who find no causality in either direction between speculation and oil returns. In contrast though to our finding on economic uncertainty, Andreasson et al (2016) confirm a causal effect of this variable on oil returns. However, our result is found to be consistent for all maturities considered.…”
Section: Resultssupporting
confidence: 81%
“…The fundamental factor model we consider is motivated by the analysis of Andreasson et al (2016). The authors investigate economic, financial and speculation based variables for modelling a range of commodities, including crude oil.…”
Section: Modelling and Testing Methodologymentioning
confidence: 99%
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“…Thus, we can look for the sources of dynamic behaviour in asset price correlation by analyzing how different risk factors play different roles for high (positive) and low (negative) returns (Bernanke, 1983;Bloom, 2009;Pastor and Veronesi, 2012). However, recent research indicates that uncertainty relating to stock market conditions is not of crucial importance for commodity futures prices (Reboredo and Uddin, 2016) which appear to be driven by alternative macroeconomic fundamentals to a greater extent than other asset classes (Gorton and Rouwenhorst, 2006;Roll;Andreasson et al, 2016)). These findings have interesting implications for how to create more well-diversified and stable financial portfolios.…”
Section: Introductionmentioning
confidence: 99%