Master Thesis Online
Commodities, Inflation, and Currency Risk: Revisiting Diversification for the European Investor in the Post Financialization Era.
Tabach, Basma 
Promotor(s) :
Hübner, Georges
Date of defense : 31-Aug-2026/4-Sep-2026 • Permalink : http://hdl.handle.net/2268.2/27647
Basma_Tabach_Thesis.pdfDetails
| Title : | Commodities, Inflation, and Currency Risk: Revisiting Diversification for the European Investor in the Post Financialization Era. |
| Author : | Tabach, Basma
|
| Date of defense : | 31-Aug-2026/4-Sep-2026 |
| Advisor(s) : | Hübner, Georges
|
| Committee's member(s) : | Faverjon, Anouck
|
| Language : | English |
| Discipline(s) : | Business & economic sciences > Finance |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] This thesis tests whether diversified commodity futures provide effective inflation protection and diversification for a euro-based investor, extending Gorton and Rouwenhorst (2006) and Ansems (2012). Using a 2012-2026 sample and five empirical steps (distributional analysis, inflation-beta regression, currency-risk decomposition, Markov regime-switching, and portfolio optimization), results show no significant unconditional inflation hedge and no strategic case for commodities, except Precious Metals. Currency exposure consistently lowers euro-denominated performance, and hedging helps throughout. Correlation with equities rises during market stress, though Precious Metals alone shows crisis-alpha behavior. The thesis extends Ansems' null result to a euro, regime-aware setting.
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