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Commodity Connectedness
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
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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
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Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices
Bobenrieth H., Eugenio S. - 2013
, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market …
Persistent link: https://www.econbiz.de/10013082152
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Biofuels, Binding Constraints and Agricultural Commodity Price Volatility
Abbott, Philip C. - 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
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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
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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
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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
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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
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Was this Time Different? Fiscal Policy in Commodity Republics
Cespedes, Luis Felipe - 2013
We revisit the issue of fiscal procyclicality in commodity-rich nations -commodity republics in the nomenclature of this paper. Since commodity prices are plausibly a main driver of fiscal policy outcomes in these countries, we focus on the behavior of fiscal variables across the commodity...
Persistent link: https://www.econbiz.de/10013071507
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Commodity Price Volatility and World Market Integration Since 1700
Jacks, David S. - 2009
of life deep into the 18th century. Does world market integration breed more or less commodity price volatility? The … been associated with much greater commodity price volatility, while world market integration associated with peace and pro …Poor countries are more volatile than rich countries, and we know this volatility impedes their growth. We also know …
Persistent link: https://www.econbiz.de/10012764828