Time-frequency analysis between Bloomberg Commodity Index (BCOM) and WTI crude oil prices

Shahzad, Umer; Jena, Sangram Keshari; Tiwari, Aviral Kumar; Doğan, Buhari; Magazzino, Cosimo

doi:10.1016/j.resourpol.2022.102823

Cited by 21 publications

(5 citation statements)

References 38 publications

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“…Moreover, energy is the major group of the index with 29.83 % weight. Additionally, consists of 23 futures traded on physical commodities (Shahzad et al, 2022). Twitter-based Economic Uncertainty Index (TEU), which examines all, messages (tweets) that contain uncertainty-related keywords and Economy-related keywords (Baker et al, 2021).…”

Section: Methodsmentioning

confidence: 99%

Determining the Causal Relationship Between Baltic Dry Index (Bdi) and Macroeconomic Variables by Toda-Yamamoto Analysis

AKDAĞ

Kocabıyık

Karaatlı

2023

Yönetim Ve Ekonomi Araştırmaları Dergisi

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The Baltic Dry Index (BDI) is the most critical indicator taking the pulse of maritime trade. Hence, it is essential to determine the macroeconomic variables that affect the BDI, which is a solid indicator for global economic activities in maritime transport. This research paper studies the association between macroeconomic indicators and the BDI. For this purpose, the Toda-Yamamoto approach was performed to examine the causal association between macroeconomic variables and the BDI. The Lee-Strazicich (LS) unit root test was applied based on Model C (break) to determine the stationary of the model series. The research's findings shed significant light on the relationship between the BDI and macroeconomic variables. According to the Toda-Yamamoto causality test results: BDI has a two-way relationship with S&P 500 and MSCI World indexes; besides, there is a one-way relationship from €/$ parity to BDI and from BDI to BCOM index.

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Section: Methodsmentioning

confidence: 99%

Determining the Causal Relationship Between Baltic Dry Index (Bdi) and Macroeconomic Variables by Toda-Yamamoto Analysis

AKDAĞ

Kocabıyık

Karaatlı

2023

Yönetim Ve Ekonomi Araştırmaları Dergisi

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“…Using the augmented autoregressive distributed lag approach, the study finds that economic growth and taxation revenues positively promote renewable energy in the country. Shahzad et al [ 7 ] examined the dynamic relationships between commodity index and commodity futures. Wavelet coherence shows that the Bloomberg commodity index and West Texas Intermediate (WTI) crude oil are correlated in medium‐ to long‐term periods but not in the short term.…”

Section: Literature Review and Theoretical Frameworkmentioning

confidence: 99%

Does the Oil Price Slump Cause a Cleaner Energy Transition during Coronavirus Disease 2019 in Italy? Fresh Evidence from Quantile and Wavelet Coherency Analyses

Magazzino,

Mele,

Quarto

2023

Energy Tech

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The aim of the article is to analyze the evolution of oil prices and renewable energy production in Italy during the coronavirus disease 2019 pandemic crisis with daily data for the period January 2020–September 2020 through new time series techniques (wavelet coherency analysis and quantile coherency analysis). The applied results show that disaggregated renewable energy sources (solar, hydro, wind, and geothermal) drive oil prices positively, with the exemption of biomass, which drives oil prices negatively in the long term. Establishing a link between renewable energies and oil prices allows significant policy recommendations, given the geopolitical framework and the energy national budget.

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“…Findings suggest that oil price shocks lead to higher stock returns during the ZLB. Shahzad et al ( 2022 ) explored the evolution of volatility of the Bloomberg commodity index and WTI crude oil prices at different time scales using wavelet analysis (WA), showing that these variables are correlated in the medium to long term but not in the short term. Using a similar methodology, Mutascu et al ( 2022 ) inspected the co-movements of gasoline and diesel prices in three European countries (i.e., Germany, France, and Italy) with different fuel tax systems, through a weekly dataset over the period January 2005–June 2021, providing empirical evidence of co-movements between gasoline and diesel at all frequencies.…”

Section: Overview Of the Literaturementioning

confidence: 99%

On the relationship between oil market and European stock returns

Magazzino,

Shahbaz,

Adamo

2023

Environ Sci Pollut Res

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This paper investigates the dynamic relationship between the oil market and European stock market returns using monthly data from May 2007 to April 2022 for 27 European Union member countries. A novel approach is adopted by using the time-varying Granger causality test and the structural vector auto-regression model to examine the causal links. Empirical results reveal strong evidence of time-varying causation between the variables, considering the oil market from both the supply-side and demand-side perspectives. In light of these findings, numerous policy considerations emerge, including refining risk management strategies for investors, reformulating economic and energy policies, the potential impact on monetary policy decisions, the need for ad hoc market regulations, facilitating investor education initiatives, promoting international cooperation, and advancing the transition to sustainable energy sources.

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Time-frequency analysis between Bloomberg Commodity Index (BCOM) and WTI crude oil prices

Cited by 21 publications

References 38 publications

Determining the Causal Relationship Between Baltic Dry Index (Bdi) and Macroeconomic Variables by Toda-Yamamoto Analysis

Determining the Causal Relationship Between Baltic Dry Index (Bdi) and Macroeconomic Variables by Toda-Yamamoto Analysis

Does the Oil Price Slump Cause a Cleaner Energy Transition during Coronavirus Disease 2019 in Italy? Fresh Evidence from Quantile and Wavelet Coherency Analyses

On the relationship between oil market and European stock returns

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