Economic cycles and downside commodities risk
Abstract
We de-compose the S&P Goldman Sachs Commodity Index into its underlying commodity sub-categories and develop a modified conditional value at risk (CVaR) metric to examine downside risk linked to economic periods which are classified by their GDP growth as green, yellow, orange and red. We term this new metric economic CVaR (ECVaR). We found significant differences in the relative ECVaR rankings of different commodities over our different economic cycles.
Document Type
Journal Article
School
School of Business and Law
RAS ID
23520
Copyright
subscription content
Publisher
Routledge, Taylor & Francis Online
Comments
Powell, R. J., Vo, D. H., & Pham, T. N. (2018). Economic cycles and downside commodities risk. Applied Economics Letters, 25(4), 258-263. doi: 10.1080/13504851.2017.1316818. Available here