Impact of speculation and economic uncertainty on commodity markets
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- 作者：Pierre Andreassona ; 1 ; piean501@student.liu.se" class="auth_mail" title="E-mail the corresponding author ; Stelios Bekirosb ; c ; d ; Stelios.Bekiros@EUI.eu" class="auth_mail" title="E-mail the corresponding author ; Duc Khuong Nguyenb ; 2 ; duc.nguyen@ipag.fr" class="auth_mail" title="E-mail the corresponding author ; Gazi Salah Uddina ; 1 ; gazi.salah.uddin@liu.se" class="auth_mail" title="E-mail the corresponding author
- 关键词：C14 ; C32 ; C51
- 刊名：International Review of Financial Analysis
- 出版年：2016
- 出版时间：January 2016
- 年：2016
- 卷：43
- 期：Complete
- 页码：115-127
- 全文大小：1049 K
文摘
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We examine the links between commodity futures & economic uncertainty indices.
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We use speculation, currency & equity indices & a policy uncertainty index.
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Nonlinear causality is tested after controlling for cointegration & heteroscedasticity.
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New evidence is presented on linear & nonlinear dynamics in commodity markets.
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The results can be utilized for policy & investment decision-making.