دانلود مقاله ISI انگلیسی شماره 90189
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
90189 2018 18 صفحه PDF سفارش دهید 14683 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Economic Modelling, Volume 70, April 2018, Pages 543-560

پیش نمایش مقاله
پیش نمایش مقاله

چکیده انگلیسی

We examine the macroeconomic determinants of the volatility of commodity futures (including agricultural commodity futures, metal futures and oil futures) in two emerging commodity markets – China and India. The macroeconomic variables used include both domestic and international macroeconomic variables that gauge economic environment, monetary policy and financial market information. We use a recently proposed GARCH-MIDAS model which jointly incorporates the daily price volatility and low-frequency macroeconomic variables. The model decomposes the volatility series into short- and long-run components, thereby enabling us to test whether the macroeconomic variables can determine the long-run variance. We find that there exists a long-run volatility component in the commodity futures, and most of the tested low-frequency macroeconomic variables are positively related to the long-run variance of commodity futures. Our results suggest that both domestic and international macroeconomic information plays an important role in determining the price volatility of the emerging commodity futures.

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پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.