Lebow College of Business Drexel University Philadelphia, PA
Econometric Institute Erasmus School of Economics Erasmus University Rotterdam
Tinbergen Institute The Netherlands
Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo
抄録
This paper examines the inclusion of the dollar/euro exchange rate together with important commodities in two different BEKK, or multivariate conditional covariance, models. Such inclusion increases the significant direct and indirect past shock and volatility effects on future volatility between the commodities, as compared with their effects in the all-commodity basic model (Model 1), which includes the highly-traded aluminum, copper, gold and oil. Model 2, which includes copper, gold, oil and exchange rate, displays more direct and indirect transmission than does Model 3, which replaces the business cycle-sensitive copper with the highly energy-intensive aluminum. Optimal portfolios should have more Euro than commodities, and more copper and gold than oil. The multivariate conditional volatility models reveal greater volatility spillovers than their univariate counterparts.
内容記述
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-668
発行年
2009-09
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
335
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies
