Shipra Maurya

Bio: Shipra Maurya is an academic researcher from Indian Institute of Technology Madras. The author has contributed to research in topics: Futures contract & Emerging markets. The author has an hindex of 2, co-authored 2 publications receiving 6 citations.

Crude Oil Volatility Transmission Across Food Commodity Markets: A Multivariate BEKK-GARCH Approach:

Abstract: This study examines the time-varying price risk transmission in the nexus between crude oil and agricultural commodity prices in the context of non-grain-based biofuel producing country. Analysis o...

Contagion Effect Among Crude Oil and Food Prices in India

Abstract: This paper examines the contagion effect among crude oil and wheat, soybean and maize spot prices in India using the daily prices data for 2010-2013. Using correlation, we find comovement among spot as well as among futures prices of commodities. The causality is present among spot prices of commodities. There is unidirectional contagion effect running from crude oil to soybean spot and, from maize spot and soybean spot to wheat spot. In the recent period, we find the movement of contagion effect from crude oil prices to food prices. The VAR model shows that commodities spot prices are influenced by its past prices and futures prices and also by the spot and futures prices of other commodities. The contagion effect among the crude oil and food prices as well as within the food market has been witnessed among wheat, soybean and maize spot prices even after controlling for futures prices in the Indian commodities market.

Sustainable development of the green bond markets in India: Challenges and strategies

Abstract: Green bonds have emerged as a useful and powerful financial strategy to mitigate the financial problems of low-carbon projects. India, which is a significant contributor to global warming, is facing serious challenges in increasing the market for and acceptability of green bonds. This study identified different challenging factors influencing the development of green bond markets in India and suggests suitable strategies to overcome these challenges. The key factors responsible for the development of green bond markets were identified by an extensive literature review and critical examination through experts' opinion. The best worst method (BWM) was used to rank challenges and strategies based on the priority (or weights) provided by the industry experts. The results indicate that the lack of clear risk profiling and legislative support involved in green bonds are the most crucial challenges for the Indian green bond market, followed by lack of market knowledge and lack of demand among investors for green bonds. Among the strategies, standardization emerged as the most notable to promote green bond in emerging economies. This study extends the literature by providing comprehensive insights into the challenges restricting the growth of the green bond market and develops a detailed understanding of the different strategies to overcome those challenges. This study also provides a roadmap for policymakers to restructure the green bond market and to help fulfill India's commitment to the Paris Agreement.

The Comovement in Commodity Prices: Sources and Implications

Abstract: We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the combined contribution of all aggregate shocks which have no direct effects on commodity markets other than through general equilibrium effects on output, while other factors represent direct commodity shocks. Thus, the factor structure provides a decomposition of underlying structural shocks. The theory also provides guidance on how empirical factors can be rotated to identify the structural factors. We apply factor analysis and the identification conditions implied by the model to a cross-section of real non-energy commodity prices. The theoretical restrictions implied by the model are consistent with the data and thus yield a structural interpretation of the common factors in commodity prices. The analysis suggests that commodity-related shocks have generally played a limited role in global business cycle fluctuations.

Volatility integration of gold and crude oil prices with the interest rates in India

Abstract: Crude oil, gold and interest rates are some of the key indicators of the health of domestic as well as global economy. The purpose of the study is to find the shock volatility and price volatility effects of gold and crude oil market on interest rates in India.,This study finds the mutual and directional association of the volatility of gold, crude oil and interest rates in India. The bi-variate GARCH models (Diagonal VEC GARCH and BEKK GARCH) are applied on the sample data of gold price, crude oil price and yield (interest rate) gathered from November 30, 2015 to November 16, 2020 (weekly basis) to investigate the volatility association including the volatility spillover effect in the three markets.,The main findings of the study focus on having a long-term conditional correlation between gold and interest rates, but there is no evidence of volatility spillover from gold and crude oil on the interest rates. The findings of the study are of great importance especially to the policymakers, as they state that the fluctuations in prices of gold and crude oil do not adversely impact the interest rates in India. Therefore, the fluctuations in prices of gold and crude may generally impact the economy, but it has nothing to do with interest rate in particular. This implies that domestic and foreign investments in the country will not be affected by gold and crude oil that are largely driven by interest rates in the country.,Gold and crude oil are two very important commodities that have their importance not only for domestic affairs but also for international business. They veritably influence the economy including forex exchange for any nation. In addition to this, the researchers believe the findings will provide insights to policymakers, stakeholders and investors.,Gold and crude oil undoubtedly influence the exchange rates but their impact on the interest rates in an economy is not definite and remains ambiguous owing to the mixed findings of the studies. The lack of studies related to the impact of gold and crude oil on the interest rates, despite them being essentials for the health of any economy is the main motivation of this study. This study is novel as it investigates the volatility impact of crude oil and gold on interest rates and contributes to the existing literature with its findings.

VIX and Major Agricultural Future Markets: Dynamic Linkage and Time-Frequency Relations Around the COVID-19 Outbreak

Abstract: Purpose The purpose of this paper is to examine the volatility spillover and lead-lag relationship between the Chicago Board Options Exchange volatility index (VIX) and the major agricultural future markets before and during the Coronavirus disease 2019 (COVID-19) outbreak. Design/methodology/approach The methods used were the vector autoregression-Baba, Engle, Kraft and Kroner-generalized autoregressive conditional heteroskedasticity method, the Wald test and wavelet transform method. Findings The findings indicate that prior to the COVID-19 outbreak, there was a two-way volatility spillover impact between the majority of the sample markets. In comparison, volatility transmission between the VIX index and the agricultural future market was significantly lower following the COVID-19 outbreak, the authors observed greater coherence at higher frequencies than at lower frequencies, implying that the interdependence between the two VIX indices and the agricultural future market was stronger over a longer time-frequency domain and the VIX’s signalling effect on various agricultural future prices after the COVID-19 outbreak was significantly lower. Originality/value The authors conducted the first comprehensive investigation of the VIX’s correlation with major agricultural futures, especially during COVID-19. The findings contribute to a better understanding of the risk transmission mechanism between the VIX and major agricultural commodities futures contracts. And our findings have significant implications for investors and portfolio managers, as well as for policymakers who are concerned about the price of agricultural futures.

Dynamic spillover effect and hedging between the gold price and key financial assets. New evidence from Vietnam

Abstract: This study investigates the interlinkage of gold markets and Vietnamese asset classes at multiple investment horizons using a hybrid wavelet-based VAR-GARCH-BEKK approach. The findings show that th...

Futures Market in Indian Agriculture and Its Impact on Production and Prices

Abstract: Indian markets have recently thrown open a new avenue for retail investors and traders to participate in commodity derivatives. Earlier, retail investors could have done very little to actually invest in commodities such as gold and silver – or oilseeds in the futures market. Except for gold and silver, there was practically no retail avenue for punting in commodities. However, with the setting up of three multicommodity exchanges in the country, retail investors can now trade in commodity futures without having physical stocks/commodities. They are the Multi Commodity Exchange (MCX), the National Commodity and Derivatives Exchange (NCDX) and the National Multi Commodity Exchange (NMCE). Commodity futures contract and the commodity exchanges are regulated by the Government under the Forward Contracts (Regulation) Act, 1952 (FCRA). The nodal agency to regulate the future market is the Forward Markets Commission (FMC), situated at Mumbai, which functions under the aegis of the Ministry of Consumer Affairs. The two major economic functions of a commodity futures market are price risk management and price discovery. Among these, the price risk management is by far the most important, and is the crux of a commodity futures market. The Economic Survey and the recent budget proposals are in favour of the growth of Commodities Market. The 2008-09 Economic Survey has also suggested lifting the ban on some commodity futures contracts. The Government has banned trading in rice, urad, tur futures indefinitely and suspended sugar futures till December 31, 2009. The budget has also removed CTT (Commodities Transactions Tax) on the commodities trading. The survey suggested the need for taking shot electronic trading to agricultural produce marketing committees across India. The two largest commodities exchanges in India are Multi Commodity Exchange (MCX) and the National Commodities and Derivatives Exchange (NCDEX) have already started electronic spot exchanges.