Convention on the Elimination of Discrimination Against Women

Abstract

We study the macroeconomic determinants of the commodity futures volatility (which includes agricultural commodities like cocoa, coffee, corn lumber, soya bean oil, soya bean, sugar and wheat), in New York Mercantile Exchange (NYMEX). The macroeconomic variable used is business cycle changes or state of the economy which includes inflation rate, industrial production growth, Unemployment Rate, Producers confidence index, consumer confidence index and National Activity index (NAI). We incorporate a recent developed GARCH- MIDAS approach which collectively inculcates the daily commodity futures price volatility and relatively less-frequent macro finance variables. We infer that there in commodity futures, there is a long-run component of volatility and most of tested less frequent macro finance determinants those are positively related to the long-run variance of commodity futures. Our results suggest that macro finance information plays significant role in determining the price volatility of the NYME commodity futures. This study also emphasizes the fact that commodities can better be used as hedging instrument instead of stocks and bonds for the investors, govt., policy makers, consumers. This study also reveals that commodities can also be used an alternative asset class for the investors.