The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis

Ding, Qian; Huang, Jianbai; Zhang, Hongwei

doi:10.1016/j.resourpol.2021.102079

Cited by 41 publications

(5 citation statements)

References 43 publications

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“…These events may be the possible reason for the positive association between GPR and commodities. Nonetheless, our findings are consistent with Ding et al ( 2021 ) and partially with Smales ( 2021 ), but the GPR-WTI nexus contradicts Antonakakis et al ( 2017 ) and Qin et al ( 2020 ).…”

Section: Empirical Results and Analysissupporting

confidence: 92%

Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?

et al. 2022

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This study analyses the impact of different uncertainties on commodity markets to assess commodity markets' hedging or safe-haven properties. Using time-varying dynamic conditional correlation and wavelet-based Quantile-on-Quantile regression models, our findings show that, both before and during the COVID-19 crisis, soybeans and clean energy stocks offer strong safe-haven opportunities against cryptocurrency price uncertainty and geopolitical risks (GPR). Soybean markets weakly hedge cryptocurrency policy uncertainty, US economic policy uncertainty, and crude oil volatility. In addition, GSCI commodity and crude oil also offer a weak safe-haven property against cryptocurrency uncertainties and GPR. Consistent with earlier studies, our findings indicate that safe-haven traits can alter across frequencies and quantiles. Our findings have significant implications for investors and regulators in hedging and making proper decisions, respectively, under diverse uncertain circumstances.

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Section: Empirical Results and Analysissupporting

confidence: 92%

Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?

et al. 2022

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“…The impacts of GPR on various commodities returns differ substantially from the aggregate commodity. Conflicts and tensions among major powers, including potential risks of financial instability, all lead to significant changes in the impact of uncertainty shocks on commodity markets ( Ding et al, 2021 ). Because of the complexity of political conflicts and policy shifts and the characteristics and heterogeneity of different commodities, the impacts of a GPR shock are intuitively diverse.…”

Section: Resultsmentioning

confidence: 99%

Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks

Long

Guo

2022

Research in International Business and Finance

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“…To process the stock market data, returns were calculated as , where denotes the price on day t , and denotes the return on day t . To extract the volatility of stock market prices, the GARCH (1,1) method was used in agreement with related studies (Ding et al, 2021 ). Tables 4 and 5 give brief statistical descriptions of the returns and volatility of the ten financial sector stock markets.…”

Section: Data and Samplementioning

confidence: 99%

An interpretable system for predicting the impact of COVID-19 government interventions on stock market sectors

et al. 2023

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Evaluating and understanding the financial impacts of COVID-19 has emerged as an urgent research agenda. Nevertheless, the impacts of government interventions on stock markets remain poorly understood. This study explores, for the first time, the impact of COVID-19 related government intervention policies on different stock market sectors using explainable machine learning-based prediction models. The empirical findings suggest that the LightGBM model provides excellent prediction accuracy while preserving computationally efficient and easy explainability of the model. We also find that COVID-19 government interventions are better predictors of stock market volatility than stock market returns. We further show that the observed effects of government intervention on the volatility and returns of ten stock market sectors are heterogeneous and asymmetrical. Our findings have important implications for policymakers and investors in terms of promoting balance and sustaining prosperity across industry sectors through government interventions.

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The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis

Cited by 41 publications

References 43 publications

Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?

Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?

Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks

An interpretable system for predicting the impact of COVID-19 government interventions on stock market sectors

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