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Commodity Index Traders and the Boom/Bust Cycle in Commodities Prices
Frenk, David - 2011
absolute price levels for numerous food and energy commodities in markets around the world. Using a new set of analytic …
Persistent link: https://www.econbiz.de/10013119495
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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/10013073400
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Jumps in Commodity Markets
Nguyen, Duc Binh Benno - 2019
This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show...
Persistent link: https://www.econbiz.de/10012900597
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Volatility Term Structures in Commodity Markets
Hollstein, Fabian - 2019
In this study, we comprehensively examine the volatility term structures in commodity markets. We model state-dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the equity market. We detect strong economic links and a...
Persistent link: https://www.econbiz.de/10012858896
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Commodity prices after COVID-19 : persistence and time trends
Monge González, Manuel; Lazcano, Ana - In: Risks : open access journal 10 (2022) 6, pp. 1-20
months due to the number confinements put in place around the world. Since the worst days of the pandemic caused by COVID-19 …
Persistent link: https://www.econbiz.de/10013363006
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The output effects of commodity price volatility : evidence from exporting countries
Hachula, Michael; Hoffmann, Sebastian - 2015
Empirical evidence indicates that high oil price volatility has a dampening effect on output in countries that import commodities. Many countries, however, gain important revenues from commodity exports. This paper investigates the output effects of commodity price volatility in commodity...
Persistent link: https://www.econbiz.de/10011346638
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El NiñO and World Primary Commodity Prices : Warm Water or Hot Air?
Brunner, Allan D. - 2006
This paper examines the historical effects of the El Nintilde;o-Southern Oscillation (ENSO) cycle on world prices and … economic activity. The analysis indicates that ENSO has economically-important and statistically-significant effects on world … inflation movements over the past several years. ENSO also has some explanatory power for world consumer price inflation and …
Persistent link: https://www.econbiz.de/10012782516
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Commodity Returns and Their Volatility in Relation to Speculation : A Consistent Empirical Approach
Haase, Marco - 2019
Granger causality (GC) tests are widely used when it comes to empirically address the dynamic relationship between speculative activities and pricing on commodity markets. However, the sheer number of studies and their heterogeneity makes it extremely difficult – if not impossible – to...
Persistent link: https://www.econbiz.de/10012903961
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Uncertainty, Macroeconomic Activity and Commodity Price : A Global Analysis
Shen, Yifan - 2018
We extend Jurado et al. (2015)'s forecast-error-based uncertainty measure to the international context, and construct a new measure of global uncertainty. We examine dynamic causal effects among global uncertainty and other global macroeconomic variables, and provide two important applications...
Persistent link: https://www.econbiz.de/10012908344
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Financialisation of the Commodity Markets. Conclusions from the VARX DCC GARCH
Szafranek, Karol - 2016
The global economy is highly dependent on commodity prices, which are, by and large, the outcome of market-specific supply and demand fundamentals. As a result, driven by different determinants, financial assets and commodity prices should be negligibly correlated. However, systematically...
Persistent link: https://www.econbiz.de/10013003293