Economic cycles and downside commodities risk

Authors/Creators

Robert J. Powell, Edith Cowan UniversityFollow
Duc H. Vo
Thach N. Pham

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

Date of Publication

2018

Publication Title

Applied Economics Letters

Publisher

Routledge, Taylor & Francis Online

School

School of Business and Law

RAS ID

23520

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

Copyright

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