Volatility spillovers between Cocoa Futures markets and selected currency pairs

Abstract

Tato práce se zab˝vá dynamikou p elévání mezi kakaov˝mi futures a m nov˝mi páry. Intercontinental Exchange U.S. a Intercontinental Exchange Europe kakaové futures kontrakty jsou zahrnuty v anal˝ze. Americk˝ dolar, britská libra a öv˝carsk˝ frank jsou vybrány jakoûto d leûité globální m ny a ghan- sk˝ cedi jakoûto m na Ghany, zem závislé na exportu kakaa. Empirick˝ v˝zkum je proveden pro období od ervence 2007 do kv tna 2024. GARCH modely jedné prom nné potvrzují, ûe kakaové futures v roce 2024 zazname- naly bezprecedentní úrove volatility. VAR-DCC-GARCH model je pouûit pro studium podmín n˝ch korelací mezi jednotliv˝mi instrumenty. Korelace mezi kakaov˝mi futures je velice silná aû na v˝jime ná období náhlého poklesu. Podmín né korelace mezi kakaov˝mi futures a m nov˝mi páry jsou velice slabé a prom nlivé v ase. VAR-BEKK-GARCH modely o dvou prom nn˝ch jsou aplikovány na studium v˝skytu p elévání ve st ední hodnot , öoku a volatil- it mezi jednotliv˝mi instrumenty. Model je dále postupn aplikován na ty i asové podintervaly. Míra p elévání v anal˝ze celého intervalu se liöí od anal˝z podinterval , stejn tak jako se liöí míra p elévání mezi jednotliv˝mi podinter- valy. Je pozoruhodné, ûe p elévání dosahuje nejvyööí intenzity v podintervalu zahrnujícím období finan ní krize roku 2008 a po áte ních fází...

This thesis explores spillover dynamics between cocoa futures and currency pairs. Intercontinental Exchange U.S. and Intercontinental Exchange Europe cocoa futures contracts are both included in the analysis. United States dollar, British pound, and Swiss franc are selected as global currencies, and Ghana- ian cedi is chosen as the currency of Ghana, a cocoa-dependent country. The empirical analysis covers a period from July 2007 to May 2024. Univariate GARCH modeling confirms that cocoa futures contracts have been experienc- ing unprecedented volatility in 2024. VAR-DCC-GARCH model is used to explore conditional correlations between the assets. The correlation between cocoa contracts is very strong, with occasional episodes of temporary decline. Conditional correlations between cocoa futures and currency pairs are weak and vary over time. Bivariate VAR-BEKK-GARCH models are applied to ex- plore the presence of spillovers in mean, shocks, and volatility across assets. Additionally, the models are estimated for four subsample periods. The degree of spillover di ers in full sample and subsample analysis and varies across in- dividual periods. Notably, spillovers between cocoa futures and the currency pairs are the most widespread during the most volatile period covering the Great Financial Crisis and...