RELATIONSHIPS AMONG STRATEGIC COMMODITIES AND WITH FINANCIAL VARIABLES: A NEW LOOK

Shawkat M. Hammoudeh · Ramazan Sarı · Bradley T. Ewing

77 citations0/0 files storedContemporary Economic Policy

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Market Dynamics and Volatility Monetary Policy and Economic Impact Economics of Agriculture and Food Markets

Abstract

We examine the comovements among the prices of four strategic commodities that have long, adequate daily series: oil, gold, silver, and copper as a group. We also explore their causal relationships with two commodity‐relevant macrofinancial variables: interest and exchange rates as an expanded group to shed some light on the prediction behaviors of those individual commodity prices relative to the selected financial variables. In the expanded group, the selected interest rate can provide a transmission link between commodity prices and the dollar exchange rate. The results and their policy implications are discussed at length. (JEL C51, E27, Q43)

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References

2001Bounds testing approaches to the analysis of level relationships 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1989The federal funds rate and the channels of monetary transmission 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1990The Excess Co-Movement of Commodity Prices 1990The Federal Funds Rate and the Channels of Monetary Transnission 2003Electricity consumption, employment and real income in Australia evidence from multivariate Granger causality tests 2017Reformulating Critical Values for the Bounds F- statistics Approach to Cointegration: An Application to the Tourism Demand Model for Fiji

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