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Extreme price moves: an INGARCH approach to model coexceedances in commodity markets
Ist Teil von
European review of agricultural economics, 2021-09, Vol.48 (4), p.878-914
Ort / Verlag
UK: Published by Oxford University Press
Erscheinungsjahr
2021
Link zum Volltext
Quelle
PAIS Index
Beschreibungen/Notizen
Abstract
This study presents a set of integer-valued generalised autoregressive conditional heteroskedastic models to identify possible transmission channels of joint extreme price moves (coexceedances) across a group of agricultural commodities. These models are very useful to identify factors affecting joint tail events and they are superior in terms of goodness of fit to models without autoregressive components. Emerging market demand, crude oil, exchange rate, stock market conditions and credit spread explain extreme joint returns. Psychological factors and the Monday effect play a role in affecting extreme events, while weather anomalies (El Niño and La Niña episodes) do not have explanatory power.