Macro factors and the realized volatility of commodities: A dynamic network analysis

doi:10.1016/j.resourpol.2020.101813

CASISD OpenIR

	Macro factors and the realized volatility of commodities: A dynamic network analysis
	Hu, Min; Zhang, Dayong; Ji, Qiang; Wei, Lijian
发表期刊	RESOURCES POLICY
摘要	This paper explores the relationship between macro-factors and the realized volatility of commodity futures. Three main commodities-soybeans, gold and crude oil-are investigated using high-frequency data. For macro factors, we select six indicators including economic policy uncertainty (EPU), the economic surprise index (ESI), default spread (DEF), the investor sentiment index (SI), the volatility index (VIX), and the geopolitical risk index (GPR). These indicators represent three dimensions from macroeconomics and capital markets to a broader geopolitical dimension. Through establishing a dynamic connectedness network, we show how these macro factors contribute to the volatility fluctuations in commodity markets. The results demonstrate clearly distinctive features in the reaction to macro shocks across different commodities. Crude oil and gold, for example, are more reactive to market sentiment, whereas DEF contributes the most to the realized volatility of soybeans. Macroeconomic factors and geopolitical risks are more relevant to crude oil volatilities compare to the other two. Our empirical results also reveal the fact that the macro influence on the realized volatility of commodities is time varying.
	2020
卷号	68
DOI	10.1016/j.resourpol.2020.101813
语种	英语
引用统计
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/9831
专题	中国科学院科技战略咨询研究院
推荐引用方式 GB/T 7714	Hu, Min,Zhang, Dayong,Ji, Qiang,et al. Macro factors and the realized volatility of commodities: A dynamic network analysis[J]. RESOURCES POLICY,2020,68.
APA	Hu, Min,Zhang, Dayong,Ji, Qiang,&Wei, Lijian.(2020).Macro factors and the realized volatility of commodities: A dynamic network analysis.RESOURCES POLICY,68.
MLA	Hu, Min,et al."Macro factors and the realized volatility of commodities: A dynamic network analysis".RESOURCES POLICY 68(2020).