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

Author

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  • 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
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    Citations

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    Cited by:

    1. 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.
    2. 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.

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