How do bond, equity and commodity cycles interact?

Paresh Kumar Narayan, Kannan S. Thuraisamy, Niklas F. Wagner

Research output: Contribution to journalArticleResearchpeer-review

12 Citations (Scopus)

Abstract

We address bond, equity, gold as well as oil markets, and examine their lagged interactions including market volatility and consumer prices. Apart from considering returns, we also address the cyclic component of price levels. Study of the monthly lag structure during January 1950 to June 2015 reveals: (i) U.S. cycles and returns show a consistent pattern of predictability, (ii) the bond-equity interaction has self-enforcing and dampening dynamic components, (iii) equity prices negatively react to shocks in uncertainty and slowly build a positive risk premium, (iv) lagged cross-market pricing transmission occurs from gold to bonds to oil and finally to inflation.

Original languageEnglish
Pages (from-to)151-156
Number of pages6
JournalFinance Research Letters
Volume21
DOIs
Publication statusPublished - May 2017
Externally publishedYes

Keywords

  • Asset pricing
  • Commodity markets
  • Cross-market dependence
  • Financial cycles
  • Gold
  • Granger causality
  • Market volatility
  • Oil
  • Time-varying risk premium

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