On the relationship between liquid commodities and financial variables: a Bayesian VAR approach Online publication date: Thu, 14-Jun-2018
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
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