Unconventional monetary policy and financialization of commodities

Date

2020-01-01

Author

Ordu-Akkaya, Beyza Mina
Soytaş, Uğur

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

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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

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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.