Financial Market Stress and Commodity Returns: A Dynamic Approach

Autor:	Ramesh Adhikari, Kyle J. Putnam
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	financial market stress commodity index returns S&P GSCI index office of financial research financial stress index time-varying Granger causality Markov-switching Nutrition. Foods and food supply TX341-641
Zdroj:	Commodities, Vol 3, Iss 1, Pp 39-61 (2024)
Druh dokumentu:	article
ISSN:	2813-2432
DOI:	10.3390/commodities3010004
Popis:	This paper examines the relationship between commodity index returns and the Office of Financial Research Financial Stress Index (OFR FSI). Utilizing the S&P GSCI and its five sub-indices (agriculture, livestock, energy, industrial metals, and precious metals), we find that the causal relationship between financial market stress and commodity index returns is conditional on the sample period examined and the methodology employed. We also note that stress in financial markets has a negative relationship with commodity index returns during low commodity return states; however, during high commodity return states, financial market stress exhibits a positive relationship with commodity index returns. Our findings highlight the importance of considering a time-varying framework for analyzing commodity return dynamics.
Databáze:	Directory of Open Access Journals
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