Transmissão de risco entre os mercados de commodities energéticas e agrícolas

The study assesses the impact of the contagion effect on the price formation of a broad group of commodities. Using a Quantile VAR (QVAR) model with rolling windows, and a variation of the methodology from Diebold and Yilmaz (2009, 2012, and 2014), the spillover effect of innovations in various comm...

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Detalles Bibliográficos
Autor: Medeiros, Rodrigo Rego
Tipo de recurso: tesis de maestría
Estado:Versión publicada
Fecha de publicación:2024
País:Brasil
Institución:Universidade Federal do Ceará (UFC)
Repositorio:Repositório Institucional da Universidade Federal do Ceará (UFC)
Idioma:portugués
OAI Identifier:oai:repositorio.ufc.br:riufc/76919
Acceso en línea:http://repositorio.ufc.br/handle/riufc/76919
Access Level:acceso abierto
Palabra clave:CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
QVAR
Transmissão de choques
Commodities
Ciclos
Volatilidade
Shock transmission
Cycles
Volatility
Descripción
Sumario:The study assesses the impact of the contagion effect on the price formation of a broad group of commodities. Using a Quantile VAR (QVAR) model with rolling windows, and a variation of the methodology from Diebold and Yilmaz (2009, 2012, and 2014), the spillover effect of innovations in various commodity markets - energy, food, beverages, raw materials, fertilizers, metals and minerals, and precious metals - was captured, offering a dynamic forecast both over time and across the price return distribution. Based on the decomposition of the forecast error of the commodity price return series, as proposed by Parkinson (1980), the analysis of monthly data from 1970 to 2023 reveals pronounced connectivity in the tails of the distribution, emphasizing the critical role of systematic risk in periods of extreme market turbulence.