On the relationship between liquid commodities and financial variables: a Bayesian VAR approach
by Olfa Kaabia; Ilyes Abid; Khaled Guesmi
International Journal of Global Energy Issues (IJGEI), Vol. 41, No. 1/2/3/4, 2018

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.

Online publication date: Thu, 14-Jun-2018

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Global Energy Issues (IJGEI):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com