Global connectivity between commodity prices and national stock markets: A time‐varying MIDAS analysis
使用时变混合频率VAR方法，研究全球大宗商品价格冲击与各国股票市场之间的因果关系，构建连通性指数，发现因果关系随时间变化且受国家发展水平和商品超级周期影响。
Abstract In this paper, we provide a comprehensive study of the linkages between global commodity price shocks and national financial markets. We consider an overall price index, three proxies of global oil shocks (overall, supply and demand) and non‐oil (metal) price shocks and assess their causal relationships with the stock prices of a large set of heterogeneous countries in terms of development. Using a mixed‐frequency VAR approach in a time‐varying setting, we construct a Global Commodity Connectivity Index and a Global Stock Connectivity Index to monitor the prevalence, over time, of Granger‐Causality from commodities to stock markets and vice versa. Our results show the existence of time‐varying causality during the observed period depending on the level of country development and the position on the global commodity shocks super‐cycles: the commodities depression of the 1980s and 1990s, the commodity boom of the 2000s and the post‐Global Financial Crisis.