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Unconventional monetary policy and financialization of commodities
Date
2020-01-01
Author
Ordu-Akkaya, Beyza Mina
Soytaş, Uğur
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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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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.