Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5083799 | International Review of Economics & Finance | 2011 | 16 Pages |
Abstract
This paper examines the dynamic interrelationships among four highly internationally traded commodities, oil, copper, gold and silver and three commodity-relevant financial variables including short-run interest rate, exchange rate and the world equity index. We explore these interrelationships using weekly time series in a regime switching environment. The results clearly show that the interrelationships are not only regime-dependent but there is also predictive information on those relationships across the two regimes classified by the level of uncertainties. The findings are likely to be of interest to both investors and policy makers. Contrary to other related studies, the results point to mixed evidence of directional relationships between these widely traded individual commodities and macro-financial variables, depending on the regimes.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ramaprasad Bhar, Shawkat Hammoudeh,