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Minagawa, Junichi - 2016

We explore effects of simultaneous price changes for the demand of a group of goods, which we refer to as a compound commodity. Specifically, we consider unit and proportional cost components (e. g., taxes, transportation costs, etc.) imposed on the compound commodity. We find that there is a...

Persistent link: https://www.econbiz.de/10012981296

Modeling Fluctuations in the Global Demand for Commodities

Kilian, Lutz - 2018

It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic...

Persistent link: https://www.econbiz.de/10012930077

Dimensions of Macroeconomic Uncertainty : A Common Factor Analysis

Henzel, Steffen - 2014

Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...

Persistent link: https://www.econbiz.de/10013045927

The Relative Volatility of Commodity Prices : A Reappraisal

Arezki, Rabah - 2013

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …

Persistent link: https://www.econbiz.de/10013091831

Commodity Price Volatility, Democracy and Economic Growth

Arezki, Rabah - 2013

We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …

Persistent link: https://www.econbiz.de/10013092229

Efficient Management of Insecure Fossil Fuel Imports Through Taxing (!) Domestic Green Energy?

Eichner, Thomas - 2013

A small open economy produces a consumer good, green and black energy, and imports fossil fuel at an uncertain price. Unregulated competitive markets are shown to be inefficient. The implied market failures are due to the agents' attitudes toward risk, to risk shifting and the uniform price for...

Persistent link: https://www.econbiz.de/10013094694

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Baumeister, Christiane - 2016

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....

Persistent link: https://www.econbiz.de/10012996209

The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis

Gronwald, Marc - 2013

This paper applies different copulas in order to investigate the complex dependence structure between EU emission allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important insights into the relationship between carbon, commodities...

Persistent link: https://www.econbiz.de/10013093522

Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle

Carstensen, Kai - 2017

We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...

Persistent link: https://www.econbiz.de/10012955198

Aggregation in Large Dynamic Panels

Pesaran, M. Hashem - 2015

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10013038262