@techreport{39d271e6a47448d8bbbeb9fb1a4633c4,
title = "Common Drivers of Commodity Futures?",
abstract = "We study potential drivers for a large cross-section of commodity futures. Unlike previous studies, we examine the effect of monthly drivers on daily returns using mixed- frequency Granger causality tests. We find real economic activity as a main driver on a monthly basis, whereas financial variables seem to affect returns at daily frequency. The linkages are time-varying for various stages of the financialization of commodity markets with an overall dissipating impact in the recent period of de-financialization. As our results strongly differ from traditional low-frequency Granger causality tests under the temporal aggregation of futures returns, we show the economic value of accessing infor- mation at a higher frequency in an out-of-sample trading study. Our findings emphasize the importance of using mixed-frequency techniques to uncover relationships between monthly-published macroeconomic variables and commodity prices.",
keywords = "Commodity futures, VAR, Granger causality, Mixed data sampling",
author = "Tom Dudda and Tony Klein and Nguyen, {Duc Khuong} and Thomas Walther",
year = "2022",
doi = "10.2139/ssrn.4231994",
language = "English",
series = "U.S.E. Discussion paper series",
publisher = "U.S.E. Research Institute",
number = "07",
pages = "2--61",
type = "WorkingPaper",
institution = "U.S.E. Research Institute",
}