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Diebold, Francis X. - 2017

We use variance decompositions from high-dimensional vector autoregressions to characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study both static (full-sample) and dynamic (rolling-sample) connectedness. We summarize and visualize the results using tools from...

Persistent link: https://www.econbiz.de/10012949432

Financialization in Commodity Markets

Chari, Varadarajan V. - 2017

an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities …

Persistent link: https://www.econbiz.de/10012948088

Commodity Price Forecasts, Futures Prices and Pricing Models

Cortazar, Gonzalo - 2017

Even though commodity pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper develops a new approach to calibrate these models using not only observations of oil futures...

Persistent link: https://www.econbiz.de/10012965958

Inventories and the Short-Run Dynamics of Commodity Prices

Pindyck, Robert S. - 2022

The idea that wages rise relative to alternatives as job seniority accumulates is the foundation of the theory of specific human capital, as well as other widely accepted theories of compensation. The fact that persons with longer job tenures typically earn higher wages tends to support these...

Persistent link: https://www.econbiz.de/10014074489

The Financialization of Commodity Markets

Cheng, Ing-Haw - 2013

The large inflow of investment capital to commodity futures markets in the last decade has generated a heated debate about whether financialization distorts commodity prices. Rather than focusing on the opposing views concerning whether investment flows either did or did not cause a price...

Persistent link: https://www.econbiz.de/10013072871

Biofuels, Binding Constraints and Agricultural Commodity Price Volatility

Abbott, Philip Chase - 2015

, the role of biofuels in determining recent high corn and other agricultural commodity prices, as well as their volatility … industrial demand for corn, contributing to both higher prices and greater price volatility. But turbulence in recent economic … vary over time in ways that are observable in data. Price volatility and "subsidy incidence" also depend on which regime is …

Persistent link: https://www.econbiz.de/10013035869

The Excess Co-Movement of Commodity Prices

Pindyck, Robert S.; Rotemberg, Julio - 2021

This paper tests and confirms the existence of a puzzling phenomenon - the prices of largely unrelated raw commodities have a persistent tendency to move together. We show that this comovement of prices is well in excess of anything that can be explained by the common effects of past, current,...

Persistent link: https://www.econbiz.de/10013232445

Commodity Price Volatility in the Biofuel Era : An Examination of the Linkage between Energy and Agricultural Markets

Hertel, Thomas W. - 2015

supply shocks would be 57% higher than in the non-binding case, and world price volatility would be boosted by 25% … that, in the presence of a binding RFS, the inherent volatility in the US coarse grains market will rise by about one …-quarter. And the volatility of the US coarse grains price to supply side shocks in that market will rise by nearly one-half. Under …

Persistent link: https://www.econbiz.de/10013038238

The Effect of Monetary Policy on Real Commodity Prices

Frankel, Jeffrey A. - 2010

Commodity prices are back. This paper looks at connections between monetary policy, and agricultural and mineral commodities. We begin with the monetary influences on commodity prices, first for a large country such as the United States, then smaller countries. The claim is that low real...

Persistent link: https://www.econbiz.de/10012760515

Are Commodity Futures Prices Barometers of the Global Economy?

Hu, Conghui - 2013

This paper analyzes whether commodity futures prices traded in the United States reveal information relevant to stock prices of East Asian economies including China, Japan, Hong Kong, South Korea, and Taiwan. We find significant and positive predictive powers of overnight futures returns of...

Persistent link: https://www.econbiz.de/10013071915