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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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