IDEAS home Printed from https://ideas.repec.org/a/ids/ijgeni/v41y2018i1-2-3-4p52-68.html
   My bibliography  Save this article

On the relationship between liquid commodities and financial variables: a Bayesian VAR approach

Author

Listed:
  • Olfa Kaabia
  • Ilyes Abid
  • Khaled Guesmi

Abstract

Nowadays, investors and policy-makers are paying special attention to the relationship between commodity markets and financial variables. This paper offers evidence to which way do 'liquid commodities' interact with key financial variables (S%P 500 equity VIX, federal funds rate, and exchange rates). Using a Bayesian VAR analysis, we simulate a shock on each variable and evaluate its impacts on the other. The empirical evidence highlights that different relationships exist among the commodities and financial variables. Common features exist even if differences are detected among the variables. Another general finding is that responses are immediate and have duration in time.

Suggested Citation

  • Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2018. "On the relationship between liquid commodities and financial variables: a Bayesian VAR approach," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 41(1/2/3/4), pages 52-68.
    • Handle: RePEc:ids:ijgeni:v:41:y:2018:i:1/2/3/4:p:52-68
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=92341
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Eleni Zafeiriou & Konstantinos Spinthiropoulos & Constantinos Tsanaktsidis & Stavros Garefalakis & Konstantinos Panitsidis & Alexandros Garefalakis & Garyfallos Arabatzis, 2022. "Energy and Mineral Resources Exploitation in the Delignitization Era: The Case of Greek Peripheries," Energies, MDPI, vol. 15(13), pages 1-20, June.
    2. Razek, Noha H.A. & Michieka, Nyakundi M., 2019. "OPEC and non-OPEC production, global demand, and the financialization of oil," Research in International Business and Finance, Elsevier, vol. 50(C), pages 201-225.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijgeni:v:41:y:2018:i:1/2/3/4:p:52-68. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=13 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.