Title: Do Commodity Prices Cause Financial Instability in the United States? A Time-Varying Perspective through Rolling Window Bootstrap Approach
Abstract: Handbook of Global Financial Markets, pp. 335-357 (2019) No AccessChapter 14: Do Commodity Prices Cause Financial Instability in the United States? A Time-Varying Perspective through Rolling Window Bootstrap ApproachMuhammad Shahbaz, Syed Jawad Hussain Shahzad, Sandrine Kablan, and Shawkat HammoudehMuhammad ShahbazEnergy and Sustainable Development (ESD), Montpelier Business School, France, Syed Jawad Hussain ShahzadEnergy and Sustainable Development (ESD), Montpelier Business School, France, Sandrine KablanERUDITE, Université de Paris Est Créteil, France, and Shawkat HammoudehLebow College of Business, Drexel University, United States Energy and Sustainable Development (ESD), Montpelier Business School, Francehttps://doi.org/10.1142/9789813236653_0014Cited by:2 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail Abstract: This chapter examines the casual links between financial instability and commodity prices for the US economy. The monthly data of six commodity indices and US financial instability is used from January 1991 to September 2015. Using the bootstrap full-sample Granger causality test, the results show that causality runs from commodities to financial instability; however, the short-run parameters are unstable. To overcome the limitations of the full sample tests and to accommodate possible regime shifts, we apply dynamic Granger causality using bootstrap and rolling window techniques. Analogous to the parameter stability test results, the results show varying levels of the causal nexuses between commodity prices and financial instability. Over most of the sample period, increase in commodity prices cause financial instability. However, a reinforcing effect is observed during the turmoil market conditions of the global financial crisis in 2007–2008. FiguresReferencesRelatedDetailsCited By 2Nexus between commodities and banking sector financial soundness: The role of general macroeconomic setting in GhanaCollins Baffour Kyei, Emmanuel Asafo-Adjei, Peterson Owusu Junior, Anokye Mohammed Adam and Anthony Adu-Asare Idun et al.25 February 2023 | Cogent Economics & Finance, Vol. 11, No. 1Dynamic Connectedness between Indicators of the Ghana Stock Exchange Returns and Macroeconomic FundamentalsAnthony Adu-Asare Idun, Emmanuel Asafo-Adjei, Anokye Mohammed Adam and Zangina Isshaq11 November 2022 | Risks, Vol. 10, No. 11 Handbook of Global Financial MarketsMetrics History PDF download
Publication Year: 2019
Publication Date: 2019-06-27
Language: en
Type: book-chapter
Indexed In: ['crossref']
Access and Citation
Cited By Count: 1
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot