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http://dspace.lib.uom.gr/handle/2159/18906
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) |
Files in This Item:
File | Description | Size | Format | |
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TselikisPaschalisMsc2016.pdf | 1.19 MB | Adobe PDF | View/Open |
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