Commodity Market Contagion Under Uncertainty

Download or read book Commodity Market Contagion Under Uncertainty written by Gazi Salah Uddin and published by . This book was released on 2018 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.