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Financialization in Commodity Markets
Chari, V.V. - 2017
growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …
Persistent link: https://www.econbiz.de/10012453945
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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/10012458956
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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/10012454997
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Commodity Price Forecasts, Futures Prices and Pricing Models
Cortazar, Gonzalo - 2016
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/10012455689
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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/10012459020
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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/10012459625
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The Natural Resource Curse : A Survey
Frankel, Jeffrey A. - 2010
sub-standard economic performance. They are: long-term trends in world commodity prices, volatility, crowding out of …
Persistent link: https://www.econbiz.de/10012462796
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The Consumption Terms of Trade and Commodity Prices
Berka, Martin - 2009
The national terms of trade, defined as the ratio of an export price index to an import price index has been extensively studied empirically. In this paper we construct an alternative measure, which we call the consumption terms of trade. This measure recognizes the fact that consumers and firms...
Persistent link: https://www.econbiz.de/10012463069
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Commodity Price Volatility and World Market Integration since 1700
Jacks, David S. - 2009
Poor countries are more volatile than rich countries, and we know this volatility impedes their growth. We also know … that commodity price volatility is a key source of those shocks. This paper explores commodity and manufactures price over … the past three centuries to answer three questions: Has commodity price volatility increased over time? The answer is no …
Persistent link: https://www.econbiz.de/10012463899
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Was This Time Different? Fiscal Policy in Commodity Republics
Céspedes, 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/10012458915