Asymmetric volatility in commodity markets

摘要

The paper studies the return-volatility relationship in a range of commodities. We develop a commodity price model and show that the volatility of price changes can be positively or negatively related to demand shocks. An "inverse leverage effect"-the volatility is higher following positive price shocks-is found in more than half of the daily spot prices. The effect is weaker in the three-month futures market, the period after mid-2000s and monthly historical volatility measures. Only crude oil exhibits a "leverage effect"-higher volatility follows a negative shock-and the reason is explored in the context of its special market structure.