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Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies
http://hdl.handle.net/2261/26650
http://hdl.handle.net/2261/26650681ecd4e-1ed9-40d2-9ff7-1a0e2a59649c
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL: C51, E27, Q43 | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Multivariate GARCH | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | shocks | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | volatility | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | transmission | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | portfolio weights | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Hammoudeh, Shawkat M.
× Hammoudeh, Shawkat M.× Yuan, Yuan× McAleer, Michael |
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| 著者所属 | ||||||
| 著者所属 | Lebow College of Business Drexel University Philadelphia, PA | |||||
| 著者所属 | ||||||
| 著者所属 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
| 著者所属 | ||||||
| 著者所属 | Tinbergen Institute The Netherlands | |||||
| 著者所属 | ||||||
| 著者所属 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-668, 発行日 2009-09 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 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 | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf668ab.html | |||||
