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Author: Τσελίκης, Πασχάλης
Title: Investigating the dynamics of commodity markets
Date Issued: 2016
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη
Supervisor: Παντελίδης, Θεολόγος
Abstract: Many economic time-series present significant changes in their behavior in the wake of “extreme” events such as a financial crises or war. When such changes arise in the (time-series) data, a powerful statistical tool can be employed, i.e. that of Markov switching models. This dissertation employs the Markov regime switching framework to capture the time-varying dynamics in 5 commodity indexes over the period 1995:10-2015:09. These indices are the following: (a) the Commodity Agricultural Raw Materials Index; (b) the Commodity Metals Price Index; (c) the Commodity Fuel (energy) Index; (d) the Commodity Food Price Index; and (e) Gold. Also, the return of S&P 500 is used as an additional regressor. The empirical results show that the S&P 500 and the food index have a positive and statistically significant effect on all commodity returns.
Keywords: Commodity Markets Dynamics
Markov Regime Switching Model
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2016.
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

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