Commodity volatility breaks

Vivian, Andrew; Wohar, Mark E.

doi:10.1016/j.intfin.2011.12.003

Cited by 184 publications

(83 citation statements)

References 45 publications

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“…Indeed in a number of these studies very large structural breaks have been detected; for example, Rapach et al (2008) and McMillan and Wohar (2011) detect breaks in the unconditional variance of the returns of some major stock market indices and sectoral stock price indices, …nding that the unconditional variance in some sub-samples can be larger than that in other sub-samples by a factor of about ten. For commodity returns, both CalvoGonzalez et al (2010) and Vivian and Wohar (2012) …nd statistically signi…cant evidence of structural breaks in unconditional volatility. Needless to say, volatility changes in innovations to price series processes could be induced by the presence of a speculative bubble, but equally it could be the case that changes in volatility occur without an explosive bubble period occurring.…”

Section: Introductionmentioning

confidence: 96%

Tests for explosive financial bubbles in the presence of non-stationary volatility

Harvey

Leybourne

Sollis

et al. 2016

Journal of Empirical Finance

142

178

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This paper studies the impact of permanent volatility shifts in the innovation process on the performance of the test for explosive …nancial bubbles based on recursive right-tailed Dickey-Fuller-type unit root tests proposed by Phillips, Wu and Yu (2011). We show that, in this situation, their supremum-based test has a non-pivotal limit distribution under the unit root null, and can be quite severely over-sized, thereby giving rise to spurious indications of explosive behaviour. We investigate the performance of a wild bootstrap implementation of their test procedure for this problem, and show it is e¤ective in controlling size, both asymptotically and in …nite samples, yet does not sacri…ce power relative to an (infeasible) size-adjusted version of their test, even when the shocks are homoskedastic. We also discuss an empirical application involving commodity price time series and …nd considerably less emphatic evidence for the presence of explosive bubbles in these data when using our proposed wild bootstrap implementation of the Phillips, Wu and Yu (2011) test.

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Section: Introductionmentioning

confidence: 96%

Tests for explosive financial bubbles in the presence of non-stationary volatility

Harvey

Leybourne

Sollis

et al. 2016

Journal of Empirical Finance

142

178

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“…In the presence of financialization process of commodity markets, oil price, gold price, US dollar, and stock prices have acquired further diversification properties and have become sharing similar statistical properties as well as other common characteristics (Ciner, 2001;Vivian and Wohar, 2012;Chkili et al, 2014). They are significantly correlated with each other and with the outlook of the global business cycle.…”

Section: Introductionmentioning

confidence: 99%

Oil, gold, US dollar and stock market interdependencies: a global analytical insight

Arfaoui

Rejeb

2017

EJMBE

121

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This paper takes a global perspective in examining relationships among oil, gold, US dollar and stock prices, using simultaneous equations system to identify direct and indirect linkages for the period spanning from January 1995 to October 2015. Results show significant interactions between the all parties. Indeed, we found negative relation between oil and stock prices but oil price is significantly and positively affected by stock markets, gold and USD. Oil price is also affected by oil future prices and by Chinese oil gross imports. Gold price is concerned by changes in oil, USD and stock market prices but slightly depend on US oil imports and corporate default premium. The US dollar is negatively affected by stock market and significantly by oil and gold prices and also by US consumer price index. Indirect effects always exist which confirm the presence of global interdependencies and involve the financialization process of commodity markets.

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“…By using a vector autoregressive (VAR) framework, they focus on the role of the nonoil trade balance in offsetting oil trade changes and on the effects of shocks (trade channel) on the value of gross foreign assets and liabilities (valuation channel). They show that (i) the source of the shocks matters insofar as oil-supply and oil-demand shocks have different effects on external accounts 3 , and (ii) trade and valuation channels exert a significant influence on 2 See, e.g., Choi and Hammoudeh (2010), Dwyer et al(2011), Vivian andWohar (2012), Creti et al (2013), and Silvennoinen and Thorp (2013).…”

Section: Introductionmentioning

confidence: 99%

Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies

2015

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The aim of this paper is to investigate oil price shocks' effects and their associated transmission channels on global imbalances. To this end, we rely on a Global VAR approach that allows us to account for trade and financial interdependencies between countries. Considering a sample of 30 oil-exporting and importing economies over the 1980-2011 period, we find that the nature of the shock-demand-driven or supply-drivenmatters in understanding the effects of oil price shocks on global imbalances. In addition, we show that the main adjustment mechanism to oil shocks is based on the trade channel, the valuation channel being at play only on the short run.JEL Classification: C32, F32, Q43.

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Commodity volatility breaks

Cited by 184 publications

References 45 publications

Tests for explosive financial bubbles in the presence of non-stationary volatility

Tests for explosive financial bubbles in the presence of non-stationary volatility

Oil, gold, US dollar and stock market interdependencies: a global analytical insight

Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies

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