TRANSMISSION OF VOLATILITY BETWEEN COMMODITY MARKETS AND FINANCIAL ASSET MARKETS

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We analyze in this work the link between yields on commodity futures and the US stock market. The literature related to the topic is examined and, using two bivariate GARCH models, we show how the conditional correlation between the two markets evolve during the period 2001-2015, presenting high vol...

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Autores principales: Burotto Ravanal, Nicolás, Fabris, Julio
Formato: Artículo publishedVersion
Lenguaje:Español
Publicado: Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA) 2016
Acceso en línea:https://ojs.economicas.uba.ar/RIMF/article/view/1478
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1478_oai
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Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires
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spelling I28-R145-1478_oai2025-02-11 Burotto Ravanal, Nicolás Fabris, Julio 2016-12-06 We analyze in this work the link between yields on commodity futures and the US stock market. The literature related to the topic is examined and, using two bivariate GARCH models, we show how the conditional correlation between the two markets evolve during the period 2001-2015, presenting high volatility especially during the financial crisis of 2008. The results provide empirical evidence on the process of financialization of commodities. The link between the two markets increases significantly after thefinancial collapse. En este trabajo se analiza el vínculo entre los rendimientos de los futuros de las materias primas y los de la bolsa de valores de Estados Unidos. Se examina la literatura relacionada al tema y, mediante dos modelos GARCH bivariados, se muestra cómo la correlación condicional entre ambos mercados evoluciona en el periodo 2001-2015 presentando una elevada volatilidad, especialmente durante la crisis financiera del año 2008. Los resultados aportan evidencia empírica sobre el proceso de financiarización de las materias primas. La misma indica que el vínculo entre ambos mercados aumenta significativamente después del colapso financiero. application/pdf https://ojs.economicas.uba.ar/RIMF/article/view/1478 spa Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA) https://ojs.economicas.uba.ar/RIMF/article/view/1478/2155 Revista de Investigación en Modelos Financieros; Vol. 2 (2016): Revista de Investigación en Modelos Financieros; 65-83 2250-6861 2250-687X TRANSMISSION OF VOLATILITY BETWEEN COMMODITY MARKETS AND FINANCIAL ASSET MARKETS TRANSMISIÓN DE LA VOLATILIDAD ENTRE LOS MERCADOS DE MATERIAS PRIMAS Y LOS MERCADOS DE ACTIVOS FINANCIEROS info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1478_oai
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-145
collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
language Español
orig_language_str_mv spa
description We analyze in this work the link between yields on commodity futures and the US stock market. The literature related to the topic is examined and, using two bivariate GARCH models, we show how the conditional correlation between the two markets evolve during the period 2001-2015, presenting high volatility especially during the financial crisis of 2008. The results provide empirical evidence on the process of financialization of commodities. The link between the two markets increases significantly after thefinancial collapse.
format Artículo
publishedVersion
author Burotto Ravanal, Nicolás
Fabris, Julio
spellingShingle Burotto Ravanal, Nicolás
Fabris, Julio
TRANSMISSION OF VOLATILITY BETWEEN COMMODITY MARKETS AND FINANCIAL ASSET MARKETS
author_facet Burotto Ravanal, Nicolás
Fabris, Julio
author_sort Burotto Ravanal, Nicolás
title TRANSMISSION OF VOLATILITY BETWEEN COMMODITY MARKETS AND FINANCIAL ASSET MARKETS
title_short TRANSMISSION OF VOLATILITY BETWEEN COMMODITY MARKETS AND FINANCIAL ASSET MARKETS
title_full TRANSMISSION OF VOLATILITY BETWEEN COMMODITY MARKETS AND FINANCIAL ASSET MARKETS
title_fullStr TRANSMISSION OF VOLATILITY BETWEEN COMMODITY MARKETS AND FINANCIAL ASSET MARKETS
title_full_unstemmed TRANSMISSION OF VOLATILITY BETWEEN COMMODITY MARKETS AND FINANCIAL ASSET MARKETS
title_sort transmission of volatility between commodity markets and financial asset markets
publisher Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA)
publishDate 2016
url https://ojs.economicas.uba.ar/RIMF/article/view/1478
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1478_oai
work_keys_str_mv AT burottoravanalnicolas transmissionofvolatilitybetweencommoditymarketsandfinancialassetmarkets
AT fabrisjulio transmissionofvolatilitybetweencommoditymarketsandfinancialassetmarkets
AT burottoravanalnicolas transmisiondelavolatilidadentrelosmercadosdemateriasprimasylosmercadosdeactivosfinancieros
AT fabrisjulio transmisiondelavolatilidadentrelosmercadosdemateriasprimasylosmercadosdeactivosfinancieros
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