Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic

【Author】 Enilov, Martin; Mensi, Walid; Stankov, Petar

【Source】JOURNAL OF COMMODITY MARKETS

【影响因子】3.317

【Abstract】This paper investigates the tail behavior patterns of commodity assets, the risk exposure of these assets, and how they rank given their safe haven properties. We use state-of-the-art dynamic generalized autoregressive score models to jointly estimate tail risk measures for ten commodity assets (aluminum, copper, crude oil, gasoline, gold, heating oil, lead, soybeans, tin, and wheat) over the period from September 14, 2011 to June 30, 2021. Our in-sample findings suggest that aluminum outperforms gold as a safe haven in both pre-and COVID-19 times. The out-of-sample results confirm that aluminum retains its leading role during the COVID-19 pandemic. These findings bear implications for constructing well-diversified portfolios which is vital for investors, portfolio managers, and financial advisors, and for policymakers to design policies that ensure financial stability during periods of market turmoil, such as the COVID-19 pandemic.

【Keywords】Commodity forecasting; Safe haven assets; Out-of-sample predictions; Tail risk; Generalized autoregressive score

【发表时间】2023 MAR

【收录时间】2023-02-11

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