Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach
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août 2023
- handle: 10670/1.fuuwfm
- hal: hal-04158127
- doi: 10.1016/j.resourpol.2023.103873
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.resourpol.2023.103873
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Standard of value Thoroughfares Avenues Boulevards Natural science Sciences Science of science Coal-oil Oil Crude oil Animal oils Oil Grease Fats Buildings--Heating and ventilation Futures studies Future research Future studies Futures research Proof Maize Indian corn Corn plant Zea mays Exchanges, Produce Exchanges, Commodity Commodities exchange Produce exchanges Commodity markets Products, Commercial Economic goods Merchandise Commodities computing informatisationCiter ce document
Riadh Aloui et al., « Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach », HALSHS : archive ouverte en Sciences de l’Homme et de la Société, ID : 10.1016/j.resourpol.2023.103873
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Résumé
In this study, we investigated the effects of geopolitical risk (GPR) on commodity future returns by computing the conditional value at risk (CoVaR) and delta CoVaR using time-varying and static bivariate copula models. Our results indicate that there is generally a positive dependence between commodity returns and changes in GPR. Empirical evidence also suggests that there are only upside risk spillovers from GPR to commodity markets. The delta CoVaR results locate the greatest systemic risk in heating oil and maize commodities. Future research avenues, as well as policy and practical implications, are outlined.