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- W2765360443 abstract "We examine the macroeconomic determinants of the volatility of commodity futures (including agricultural commodity futures, metal futures and oil futures) in two emerging commodity markets – China and India. The macroeconomic variables used include both domestic and international macroeconomic variables that gauge economic environment, monetary policy and financial market information. We use a recently proposed GARCH-MIDAS model which jointly incorporates the daily price volatility and low-frequency macroeconomic variables. The model decomposes the volatility series into short- and long-run components, thereby enabling us to test whether the macroeconomic variables can determine the long-run variance. We find that there exists a long-run volatility component in the commodity futures, and most of the tested low-frequency macroeconomic variables are positively related to the long-run variance of commodity futures. Our results suggest that both domestic and international macroeconomic information plays an important role in determining the price volatility of the emerging commodity futures." @default.
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- W2765360443 date "2018-04-01" @default.
- W2765360443 modified "2023-09-30" @default.
- W2765360443 title "The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets" @default.
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- W2765360443 doi "https://doi.org/10.1016/j.econmod.2017.08.032" @default.
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