TY - JOUR
T1 - Commodity tail-risk and exchange rates
AU - Bondatti, Massimiliano
AU - Rillo, Giovanni
N1 - Funding Information:
The authors thank Giovanni Bonaccolto, Nicola Borri, Federico Carlini, Joao B. Duarte and Tobias Stein (discussant) for helpful discussions and suggestions. Useful comments from two anonymous referees and from participants to the 1st International Conference “Frontiers in International Finance and Banking” at MGIMO University (Seminar), 6th Econometric Research in Finance Workshop at the SGH Warsaw School of Economics (Seminar), 14th Meeting of the Portuguese Economic Journal at the Catolica Porto Business School (Seminar), 16th Warsaw International Economic Meeting at the University of Warsaw (Seminar), XXII Quantitative Finance Workshop at the University of Verona (Poster Session), LUISS Ph.D. Internal Seminar and Nova SBE Ph.D. Internal Seminar are gratefully acknowledged. Massimiliano Bondatti acknowledges financial support from Fundação para a Ciência e a Tecnologia (FCT) . All errors remain our own.
Funding Information:
The authors thank Giovanni Bonaccolto, Nicola Borri, Federico Carlini, Joao B. Duarte and Tobias Stein (discussant) for helpful discussions and suggestions. Useful comments from two anonymous referees and from participants to the 1st International Conference “Frontiers in International Finance and Banking” at MGIMO University (Seminar), 6th Econometric Research in Finance Workshop at the SGH Warsaw School of Economics (Seminar), 14th Meeting of the Portuguese Economic Journal at the Catolica Porto Business School (Seminar), 16th Warsaw International Economic Meeting at the University of Warsaw (Seminar), XXII Quantitative Finance Workshop at the University of Verona (Poster Session), LUISS Ph.D. Internal Seminar and Nova SBE Ph.D. Internal Seminar are gratefully acknowledged. Massimiliano Bondatti acknowledges financial support from Fundação para a Ciência e a Tecnologia (FCT) . All errors remain our own.
Publisher Copyright:
© 2022 Elsevier Inc.
PY - 2022/6
Y1 - 2022/6
N2 - This paper studies the downside tail-risk relationship between currencies and commodities. In order to do so, we use the novel MCoVaR with Elastic-Net of Bonaccolto et al. (2021) to simultaneously account for the potential ties among a large set of commodities. We show that exchange rates are significantly exposed to downside tail-risk with respect to several commodities, including, but not limited to, oil and gold. Additionally, we find that different exchange rates are vulnerable to tail-risk in different commodities. Lastly, the results with respect to gold indicate that the Japanese yen and the Swiss franc can be considered safe-haven assets.
AB - This paper studies the downside tail-risk relationship between currencies and commodities. In order to do so, we use the novel MCoVaR with Elastic-Net of Bonaccolto et al. (2021) to simultaneously account for the potential ties among a large set of commodities. We show that exchange rates are significantly exposed to downside tail-risk with respect to several commodities, including, but not limited to, oil and gold. Additionally, we find that different exchange rates are vulnerable to tail-risk in different commodities. Lastly, the results with respect to gold indicate that the Japanese yen and the Swiss franc can be considered safe-haven assets.
KW - Commodity prices
KW - CoVaR
KW - Elastic-Net
KW - Exchange rates
KW - Tail-risk
UR - http://www.scopus.com/inward/record.url?scp=85130374320&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2022.102937
DO - 10.1016/j.frl.2022.102937
M3 - Article
AN - SCOPUS:85130374320
SN - 1544-6123
VL - 47
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 102937
ER -