Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/30576
Title: The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets
Authors: Karanasos, M
Yfanti, S
Wu, J
Issue Date: 28-Feb-2025
Publisher: Elsevier
Citation: Karanasos, M., Yfanti, S. and Wu, J. (2025) 'The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets', Journal of Commodity Markets, 38, 100462, pp. 1 - 24. doi: 10.1016/j.jcomm.2025.100462.
Abstract: We study the dynamic interdependence between stocks, a risky and financial ‘by definition’ asset class, and the ‘financialised’ assets from the real estate and commodity markets. We first introduce a new multivariate corrected Dynamic Conditional Correlations Mixed-Data Sampling (cDCC-MIDAS) model through which we analyse short- and long-run time-varying correlation dynamics among stocks, real estate, and five commodity types with direct implications for risk management and portfolio optimisation. The correlation analysis identifies short- and long-run hedging properties and interdependence types and concludes on strong countercyclical cross-asset interlinkages, highly dependent on the state of the economy in most cases (contagion effects) and weak procyclical connectedness for certain safe-haven assets (flight-to-quality). We further investigate the macro-relevance and crisis-vulnerability of the correlations’ evolution by unveiling the macro-determinants of asset co-movements. The economic environment plays a key role as a contagion or flight-to-quality transmitter, outweighing the effects of economic linkages among assets, while the uncertainty channel intensifies the macro impact on the cross-asset nexus.
Description: JEL classification: C32; D80; E44; G15; Q02; R33.
Data availability: Data will be made available on request.
Supplementary data are available online at: https://www.sciencedirect.com/science/article/pii/S2405851325000066#appSB .
URI: https://bura.brunel.ac.uk/handle/2438/30576
DOI: https://doi.org/10.1016/j.jcomm.2025.100462
ISSN: 2405-8513
Other Identifiers: ORCiD: Menelaos Karanasos https://orcid.org/0000-0001-5442-3509
ORCiD: Stavroula Yfanti https://orcid.org/0000-0001-8071-916X
ORCiD: Jiaying Wu https://orcid.org/0000-0002-4818-5484
Article no. 100462
Appears in Collections:Dept of Economics and Finance Research Papers

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