Risk Factors And Contagion In Commodity Markets And Stocks Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Risk Factors And Contagion In Commodity Markets And Stocks Markets write by Stephane Goutte. This book was released on 2020-04-28. Risk Factors And Contagion In Commodity Markets And Stocks Markets available in PDF, EPUB and Kindle. The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called 'commodities risk'. Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Wave After Wave
Wave After Wave - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Wave After Wave write by Bernardina Algieri. This book was released on 2017. Wave After Wave available in PDF, EPUB and Kindle.
Essays on Systemic Risk and Stock Market Contagion
Essays on Systemic Risk and Stock Market Contagion - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Essays on Systemic Risk and Stock Market Contagion write by Claudio Nicolai Wewel. This book was released on 2013. Essays on Systemic Risk and Stock Market Contagion available in PDF, EPUB and Kindle.
Commodity Market Contagion Under Uncertainty
Commodity Market Contagion Under Uncertainty - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Commodity Market Contagion Under Uncertainty write by Gazi Salah Uddin. This book was released on 2018. Commodity Market Contagion Under Uncertainty available in PDF, EPUB and Kindle. This study explores the economic and financial effects of uncertainty on the commodity market integration. This issue is important from the perspective of financialization versus hedging strategy, as the commodity market plays an important role in this context. We consider the eight major developed equity markets and three major sectors of the commodity futures markets including energy, metals and agriculture, and several sources of uncertainty. To this end, we use the panel smooth transition regression (PSTR) to capture the heterogeneity in the regression coefficients that vary across individuals and over time. Our main findings indicate a significant effect of uncertainty on the commodity markets in the two “extreme regimes” of the financial market (recessions and booms), and the sign of this effect is heterogeneous depending on the type of commodity and the source of uncertainty.
Extreme Contagion in Equity Markets
Extreme Contagion in Equity Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Extreme Contagion in Equity Markets write by Jorge A. Chan-Lau. This book was released on 2002-05. Extreme Contagion in Equity Markets available in PDF, EPUB and Kindle. This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion.
