On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes

Berger, Theo; Uddin, Gazi Salah

doi:10.1016/j.eneco.2016.03.024

Cited by 88 publications

(29 citation statements)

References 27 publications

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“…Oversupply will lead to a decrease in the prices of commodity futures; conversely, if the stock markets rise, commodity futures prices will also rise. In this case, the stock markets and commodity futures markets show a positive correlation (Berger & Uddin, ). Both the situations indicate that when the news uncertainty in stock markets increases, the variations in stock markets augment the volatilities of futures.…”

Section: Resultsmentioning

confidence: 99%

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors

Liu

Han

Yin

2018

Journal of Futures Markets

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This study investigates the impact of news implied volatility (NVIX) and its two sub‐components (news about stock markets, SMI, and news about banks and other financial intermediaries, FII) on the long‐term volatilities of commodity futures. Our empirical results clearly show that NVIX behaves heterogeneously in energy and non‐energy sectors. NVIX exerts a positively significant influence on volatilities of non‐energy futures. By contrast, volatilities of energy futures cannot be triggered by NVIX. We further show that SMI significantly affects both energy and non‐energy futures, whereas, FII only impacts non‐energy futures.

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Section: Resultsmentioning

confidence: 99%

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors

Liu

Han

Yin

2018

Journal of Futures Markets

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“…For instance, Beckmann and Czudaj () and Bekiros and Uddin () show that there is a link between exchange rates and economic policy uncertainty. Furthermore, studies show that changes in oil price shocks or stock market conditions trigger changes in economic policy uncertainty (Antonakakis et al ., , ; Kang and Ratti, ; Ko and Lee, ; Berger and Uddin, ; Bekiros and Uddin, ). Even more, Wang et al .…”

Section: Introductionmentioning

confidence: 99%

Forecasting European economic policy uncertainty

Degiannakis

Filis

2019

Scottish J Political Eco

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Forecasting the economic policy uncertainty in Europe is of paramount importance given the ongoing sovereign debt crisis. This paper evaluates monthly economic policy uncertainty index forecasts and examines whether ultra-high frequency information from asset market volatilities and global economic uncertainty can improve the forecasts relatively to the no-change forecast. The results show that the global economic policy uncertainty provides the highest predictive gains, followed by the European and US stock market realized volatilities. In addition, the European stock market implied volatility index is shown to be an important predictor of the economic policy uncertainty.

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“…11 Wavelet techniques have originally been applied for picture and audio data compression but have already been established in the economics and finance literature over the recent years (see e.g. Rua and Nunes, 2009;Rua, 2012;Berger and Uddin, 2016). We rely on MODWT since it has basically two main advantages compared to the classic DWT: it does not require dyadic length and it is shift invariant (Crowley, 2007).…”

Section: Wavelet Decompositionmentioning

confidence: 99%

“…The choice of the length is motivated by the aim to dissect the variation of the signal time series into as much components as offer some variation and follows the empirical wavelet literature(Berger and Uddin, 2016). We have also considered other filter techniques such as the Daubechies filter and the Haar filter but received wavelet components with very similar time series patterns across the different filters.…”

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confidence: 99%

Crude oil futures trading and uncertainty

Czudaj

2019

Energy Economics

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This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques to decompose crude oil futures prices into different frequencies accounting for investors' sentiment at various horizons. To allow for different effects on the propagation mechanism of uncertainty shocks, we apply a time-varying Bayesian VAR approach. Our findings indicate that both measures of uncertainty affect momentum trading on the crude oil futures market in several periods, especially during the great recession between 2007 and 2009. For the decomposed futures prices our results also show that the reaction to uncertainty differs substantially across frequencies. High frequencies exhibit a very short-lived reaction to uncertainty while low frequencies show a persistent reaction to uncertainty shocks.

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On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes

Cited by 88 publications

References 27 publications

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors

Forecasting European economic policy uncertainty

Crude oil futures trading and uncertainty

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