Unconventional monetary policy and financialization of commodities

Date

2020-01-01

Author

Ordu-Akkaya, Beyza Mina
Soytaş, Uğur

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

235
views

0
downloads

Our paper has two stages of analysis. First of all, we examine whether volatility spillover between US equity and commodity markets has significantly changed with the heavy influx of index traders in commodity derivatives markets, which is a phenomenon referred to as financialization. Given that previous findings show institutional traders enter into commodity markets at high liquidity episodepbs, in the second stage of our analysis, we investigate the particular impact of US quantitative easing policy on spillover between commodity and US stocks. Our results indicate that during financialization period, spillover from stocks to commodities have significantly increased for almost all commodities. More importantly, we show that quantitative easing is one of the underlying reasons for increasing volatility spillover between markets. Including interest rate, currency factors or default spread does not diminish the explicit role of quantitative easing on spillovers.

Subject Keywords

Economics and Econometrics, Finance

URI

https://hdl.handle.net/11511/47402

Journal

North American Journal of Economics and Finance

DOI

https://doi.org/10.1016/j.najef.2018.12.014

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

Nonlinear models, composite longer leading indicator and forecasts for UK real GDP Ocal, N (Informa UK Limited, 2006-05-20) This paper examines the role of the Office for National Statistics Composite Longer Leading Indicator, in nonlinear business cycle models for growth rates of UK real gross domestic product (GDP). These models are of the smooth transition regression class, with the transition between "regimes'' expressed as functions of lagged changes in the leading indicator. In general, evidence is found of business cycle regime asymmetries, with increases and decreases in the leading indicator implying distinct responses ...
Disinflation and exchange-rate pass-through Senay, Ozge (Cambridge University Press (CUP), 2008-04-01) This paper analyzes exchange-rate dynamics following a money-based disinflation under different degrees of exchange-rate pass-through. Using a microfounded dynamic general equilibrium model with imperfect competition and nominal rigidities, it is shown that a monetary slowdown causes an appreciation of the exchange rate and a short-run fall in employment. Varying the degree of pass-through, however, significantly alters the magnitudes of these effects. As the degree of pass-through is reduced, the extent of...
Commercial Real Estate, Information Production and Market Activity Downs, David H.; Güner, Zehra Nuray (Springer Science and Business Media LLC, 2013-02-01) This paper addresses several issues related to the production of information across commercial real estate markets. The purpose is to determine the extent to which factors of production might complement or substitute for one another. A simple model is presented to illustrate the potential trade-offs between appraisal- and transactions-based information production. A series of empirical tests are performed on a panel data set constructed for 51 markets covering 9 years, 2001 through 2009. The number of comme...
Investment analysis, price formation and neglected firms: Does real estate make a difference? Downs, DH; Güner, Zehra Nuray (Wiley, 2000-12-01) This paper examines the relation between information-gathering activities and price formation when the gatherers are small in number. Two measures of information asymmetry are estimated to test the cross-sectional effect of investment-analyst attention on price formation. The analysis contrasts firms that invest predominately in real estate assets to those that do not. Unlike most studies of the competition among information gatherers, the results in this paper indicate that liquidity worsens with increasin...
Credit risk modeling with stochastic volatility, jumps and stochastic interest rates Yüksel, Ayhan; Akyıldız, Ersan; Department of Financial Mathematics (2007) This thesis presents the modeling of credit risk by using structural approach. Three fundamental questions of credit risk literature are analyzed throughout the research: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric brownian motion assumption in explaining empirical properties of...

Citation Formats

B. M. Ordu-Akkaya and U. Soytaş, “Unconventional monetary policy and financialization of commodities,” North American Journal of Economics and Finance, pp. 0–0, 2020, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/47402.