Volatility spillover among prices of crude oil, natural gas, exchange rate, gold, and stock market: Fresh evidence from exponential generalized autoregressive conditional heteroscedastic model analysis

Kumar, Suresh; Singh, Gurcharan; Kumar, Ankit

doi:10.1002/pa.2594

Cited by 13 publications

(5 citation statements)

References 95 publications

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“…Additionally, few important studies are seen on volatility spillover effects between macroeconomic indicators in India and other south Asian countries. Kumar et al (2019) investigate the volatility effects between macroeconomic indicators and commodities in India. They find that energy commodity does not affect stock markets.…”

Section: Volatility Spillover Effectmentioning

confidence: 99%

The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation: evidence from India

Rastogi

Kanoujiya

2022

SAJBS

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Purpose This study aims to analyze the volatility spillover effects of crude oil, gold price, interest rate (yield) and the exchange rate (USD (United States Dollar)/INR (Indian National Rupee)) on inflation volatility in India.Design/methodology/approach This study uses the multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models (Baba, Engle, Kraft and Kroner [BEKK]-GARCH and dynamic conditional correlation [DCC]-GARCH) to examine the volatility spillover effect of macroeconomic indicators and strategic commodities on inflation in India. The monthly data are collected from January 2000 till December 2020 for the crude oil price, gold price, interest rate (5-year Indian bond yield), exchange rate (USD/INR) and inflation (wholesale price index [WPI] and consumer price index [CPI]).Findings In BEKK-GARCH, the results reveal that crude oil price volatility has a long time spillover effect on inflation (WPI). Furthermore, no significant short-term volatility effect exists from crude oil market to inflation (WPI). However, the short-term volatility effect exists from crude oil to inflation while considering CPI as inflation. Gold price volatility has a bidirectional and negative spillover effect on inflation in the case of WPI. However, there is no price volatility spillover effect from gold to inflation in the case of CPI. The price volatility in the exchange rate also has a negative spillover effect on inflation (but only on CPI). Furthermore, volatility of interest rates has no spillover effect on inflation in WPI or CPI. In DCC-GARCH, a short-term volatility impact from all four macroeconomic indicators to inflation is found. Only crude oil and exchange rate have long-term volatility effect on inflation (CPI).Practical implications In an economy, inflation management is an essential task. The findings of the current study can be beneficial in this endeavor. The knowledge of the volatility spillover effect of all the four markets undertaken in the study can be significantly helpful in inflation management, especially for inflation-targeting policy.Originality/value It is observed that no other study has addressed this issue. We do not find any other research which studies the volatility spillover effect of gold, crude oil, interest rate and exchange rate on the inflation volatility. The current study is novel with a significant contribution to the vast knowledge in this context.

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Section: Volatility Spillover Effectmentioning

confidence: 99%

The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation: evidence from India

Rastogi

Kanoujiya

2022

SAJBS

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“…In addition, another major factor in gold price volatility is exchange rates. It is necessary to note that exchange rate markets interact with each other as well as with the markets of various goods (Hammoudeh et al 2010;Kumar et al 2022). Finally, the interest of various scholars has been attracted to the monetary variables and the existence of correlation with the gold market.…”

Section: Goldmentioning

confidence: 99%

“…At the same time, researchers researching the period 1992-2022 observed a strong correlation between the prices of natural gas and gold. It is necessary to note that, during the COVID-19 era, this relationship is characterized as stronger (Chevallier and Ielpo 2013;Kumar et al 2022;Arfaoui et al 2023). The last commodity with which the price of natural gas seems to interact is corn.…”

Section: Natural Gasmentioning

confidence: 99%

Volatility Spillovers among the Major Commodities: A Bibliometric Review

Melas,

Faitatzoglou,

Michail

et al. 2024

Preprint

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The integration of commodities into stock exchanges marked a pivotal moment in the analysis of price dynamics. Commodities, essential for both daily sustenance and industrial processes, encompass hard commodities like metals and energy, alongside soft commodities such as agricultural produce. This paper investigates the implications of commodity price volatility on commercial and financial landscapes, recognizing its profound impact on global economies. This study employs a meticulous methodology, delineated into four stages: identification, control, and final selection of academic articles, culminating in their tabulation. Methodologically, a literature review serves as the primary tool for data acquisition, with a focus on existing scientific knowledge to bridge gaps and propose avenues for further inquiry. Drawing from reliable sources, including Google Scholar and Science Direct, the research navigates through a wealth of scholarly discourse on commodity market dynamics. By analyzing trends in academic publications, particularly focusing on the interplay between volatility spillover and gold, this paper provides insights into the evolution of research paradigms over time. Ultimately, this paper not only synthesizes existing knowledge but also identifies lacunae for future investigation, thereby contributing to a deeper understanding of the complexities surrounding commodity markets and their ramifications on global economies.

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“…Ashfaq et al (2019) advocated that the oil importing countries like India have been less affected by oil price shocks than oil exporting countries like Iraq and Saudi Arabia. Kumar et al (2021) investigated the volatility spillover among the prices of crude oil, natural gas, gold, exchange rate and stock market in India. They found that only exchange rate has volatility spillover effect on gold prices while other market has nothing to do with gold prices in India.…”

Section: Volatility Of Gold Crude Oil and Interest Rate In Indian Con...mentioning

confidence: 99%

“…Kumar et al (2021) investigated the volatility spillover among the prices of crude oil, natural gas, gold, exchange rate and stock market in India. They found that only exchange rate has volatility spillover effect on gold prices while other market has nothing to do with gold prices in India.…”

Section: Literature Reviewmentioning

confidence: 99%

Volatility integration of gold and crude oil prices with the interest rates in India

Rastogi

Doifode²,

Kanoujiya

et al. 2021

SAJBS

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PurposeCrude oil, gold and interest rates are some of the key indicators of the health of domestic as well as global economy. The purpose of the study is to find the shock volatility and price volatility effects of gold and crude oil market on interest rates in India.Design/methodology/approachThis study finds the mutual and directional association of the volatility of gold, crude oil and interest rates in India. The bi-variate GARCH models (Diagonal VEC GARCH and BEKK GARCH) are applied on the sample data of gold price, crude oil price and yield (interest rate) gathered from November 30, 2015 to November 16, 2020 (weekly basis) to investigate the volatility association including the volatility spillover effect in the three markets.FindingsThe main findings of the study focus on having a long-term conditional correlation between gold and interest rates, but there is no evidence of volatility spillover from gold and crude oil on the interest rates. The findings of the study are of great importance especially to the policymakers, as they state that the fluctuations in prices of gold and crude oil do not adversely impact the interest rates in India. Therefore, the fluctuations in prices of gold and crude may generally impact the economy, but it has nothing to do with interest rate in particular. This implies that domestic and foreign investments in the country will not be affected by gold and crude oil that are largely driven by interest rates in the country.Practical implicationsGold and crude oil are two very important commodities that have their importance not only for domestic affairs but also for international business. They veritably influence the economy including forex exchange for any nation. In addition to this, the researchers believe the findings will provide insights to policymakers, stakeholders and investors.Originality/valueGold and crude oil undoubtedly influence the exchange rates but their impact on the interest rates in an economy is not definite and remains ambiguous owing to the mixed findings of the studies. The lack of studies related to the impact of gold and crude oil on the interest rates, despite them being essentials for the health of any economy is the main motivation of this study. This study is novel as it investigates the volatility impact of crude oil and gold on interest rates and contributes to the existing literature with its findings.

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Volatility spillover among prices of crude oil, natural gas, exchange rate, gold, and stock market: Fresh evidence from exponential generalized autoregressive conditional heteroscedastic model analysis

Cited by 13 publications

References 95 publications

The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation: evidence from India

The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation: evidence from India

Volatility Spillovers among the Major Commodities: A Bibliometric Review

Volatility integration of gold and crude oil prices with the interest rates in India

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