Inflation hedging with commodities: A wavelet analysis of seven centuries worth of data

Zaremba, Adam; Umar, Zaghum; Mikutowski, Mateusz

doi:10.1016/j.econlet.2019.05.002

Cited by 71 publications

(39 citation statements)

References 9 publications

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“…The wavelet coherence technique displays interdependence between two different time series; however, it is not the optimal approach to gauge the lead–lag relationships between interdependent variables. To get a deeper insight into lead–lag relations among the PI and currency/cryptocurrency exchange rates, we employ the wavelet coherence phase difference technique following Torrence and Webster (1999) and more recent work by Sun and Xu (2018) , Zaremba et al (2019) .…”

Section: Methodsmentioning

confidence: 99%

“…Third, wavelet methods can help us to decipher important conclusions, even for relatively short time series of data owing to the data availability related to the pandemic. All the above characterize the wavelet methodology as a robust approach, commonly employed to investigate coherence between various time series (e.g., Vacha and Barunik, 2012 , Sun and Xu, 2018 , Zaremba et al, 2019 ), which we use to study the causality relationships between the variations in levels of the Covid-19 panic and currencies and cryptocurrencies exchange rates.…”

Section: Introductionmentioning

confidence: 99%

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A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets

Umar

Gubareva

2020

Journal of Behavioral and Experimental Finance

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195

105

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We apply wavelet analyses to examine the impact of the Covid-19 fueled panic on the volatility of major fiat and cryptocurrency markets during January-May, 2020. There is high coherence between moves of the Coronavirus Panic Index and the price moves in Euro, British pound, and Renminbi currencies as well as movements of the Bloomberg Galaxy Crypto Index. The main conclusions for each index pair are quite similar and corroborate with our thesis that the cross-currency hedge strategies, which could work under normal market conditions, are likely to fail during the periods of global crisis, e.g., such as the Covid-19 pandemic. However, we document some important differences in currency markets behavior, which potentially could be used to design effective cross-currency hedges capable of withstanding adverse impacts of global financial and economic turmoil. Our findings could be of use for future development of financial policies and currency markets regulation rules.

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Section: Methodsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets

Umar

Gubareva

2020

Journal of Behavioral and Experimental Finance

Self Cite

195

105

View full text Add to dashboard Cite

show abstract

“…This study applies the squared wavelet coherence (SWC) and wavelet coherence phase difference (WCPD) techniques following Torrence and Compo (1998), Torrence and Webster (1999), and more recent works by Sun and Xu (2018) and Zaremba, Umar, and Mikutowski (2019). Our approach is applied to daily data of the Covid-19 media coverage and the prices of MSCI ESG Leaders´ stocks.…”

Section: Methodsmentioning

confidence: 99%

“…In line with their research and inspired by many other studies based on wavelet analysis (Sun and Xu 2018;Zaremba, Umar, and Mikutowski 2019;Goodell and Gjoutte, 2020;Gubareva and Umar 2020;Jawadi, Jawadi, and Cheffou 2020;Nasreen et al 2020), we employ the wavelet coherence and wavelet phase-difference techniques to investigate the impact of Covid-19 media coverage on the equity volatility of the MSCI ESG Leaders. We employ the Ravenpack Media Coverage Index (MCI) and gauge its interdependence with the volatility of the ESG leaders indices in March-December 2020.…”

Section: Introductionmentioning

confidence: 97%

The relationship between the Covid-19 media coverage and the Environmental, Social and Governance leaders equity volatility: a time-frequency wavelet analysis

Umar

Gubareva

2021

Applied Economics

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We apply wavelet analyses to study how the social media coverage of the Covid-19 pandemic influenced the volatility of ESG (Environmental, Social and Governance) leaders indices encompassing World, USA, Europe, China, and Emerging Markets. We document intervals of low, medium, and high coherence between the Media Coverage Index and the price moves of the ESG Leaders indices. The low coherence intervals indicate the diversification potential of ESG investments during a systemic pandemic such as Covid-19. We document differences in the pattern exhibited by various geographical indices evidencing their potential role for designing cross-geography hedge strategies.

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“…In the context of Asian developing countries, Jongwanich and Park (2011) show that international oil and food prices pass-through to domestic inflation has been limited, and attributes this weak transmission to the public subsidies and the price controls. Zaremba et al (2019) display, by using wavelet analysis, that UK inflation is significantly affected by commodity prices. In panel European countries, Ferrucci et al (2012) find that global commodity price changes are the main determinant of producer and consumer food price, with a transmission coefficient of 0.3.…”

Section: Empirical Reviewmentioning

confidence: 99%

The Transmission of Global Commodity Prices to Consumer Prices in a Commodity Import-Dependent Country: Evidence from Morocco

Tarta

Plăiaş

Martinez

et al. 2020

SAEB

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This paper uses the Breitung and Candelon (2006) causality test to examine the effect of global oil and food price changes on the inflation in Morocco over the period from 1998Q1 to 2018Q1. The results show significant transmission from oil and food prices to domestic inflation. Specifically, the food prices are shown more important than oil prices in explaining inflation in the short-run, which reflects the high weight of food in the consumption basket. However, the effect of oil prices on inflation is much more persistent than the effect of food prices. Furthermore, the impact of commodity price shocks on inflation exhibits asymmetries. The oil price hikes affect more weakly the inflation than oil price decreases, whereas the food price increases are more transmitted to inflation than food price decreases. Our findings may provide useful information to researchers and policymakers in formulating more appropriate monetary policy.

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Inflation hedging with commodities: A wavelet analysis of seven centuries worth of data

Cited by 71 publications

References 9 publications

A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets

A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets

The relationship between the Covid-19 media coverage and the Environmental, Social and Governance leaders equity volatility: a time-frequency wavelet analysis

The Transmission of Global Commodity Prices to Consumer Prices in a Commodity Import-Dependent Country: Evidence from Morocco

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