Title: On the relationship between liquid commodities and financial variables: a Bayesian VAR approach
Authors: Olfa Kaabia; Ilyes Abid; Khaled Guesmi
Addresses: INSEEC Business School, 27 Avenue Claude Vellefaux, 75010 Paris, France ' ISC Business School, 22 Boulevard du Fort de Vaux, 75017 Paris, France ' IPAG Business School, 184 Boulevard St Germain, 75006 Paris, France
Abstract: Nowadays, investors and policy-makers are paying special attention to the relationship between commodity markets and financial variables. This paper offers evidence to which way do 'liquid commodities' interact with key financial variables (S&P 500 equity VIX, federal funds rate, and exchange rates). Using a Bayesian VAR analysis, we simulate a shock on each variable and evaluate its impacts on the other. The empirical evidence highlights that different relationships exist among the commodities and financial variables. Common features exist even if differences are detected among the variables. Another general finding is that responses are immediate and have duration in time.
Keywords: oil prices; commodities prices; financial variables; Bayesian VAR.
International Journal of Global Energy Issues, 2018 Vol.41 No.1/2/3/4, pp.52 - 68
Received: 03 Jul 2017
Accepted: 23 Apr 2018
Published online: 29 May 2018 *