Fat-tailed commodity price innovations are well-documented in the literature and long recognized as disruptive for consumers and producers, yet little is known about what factors drive such extreme events. Utilizing a wide range of factors from the economics and finance literature and quantile...

This paper examines cointegration and Granger causality between Taiwan's consumer price index (CPI) and raw material import price indices, including crude oil, steel, copper, aluminum, corn, and soybean with monthly data during 1991-2007. By applying Hsiao's version of the Granger causality...

Popular contention is that trading in futures markets by investors without a physical position (that is, non-hedgers) has lifted commodity prices. This contradicts the standard finance assumption that futures markets shadow the physical market by providing liquidity for hedgers, and at most...

This paper considers the evidence on real commodity prices from 1900 to 2015 for 40 commodities, representing 8.72 trillion US dollars of production in 2011. In so doing, it suggests and documents a comprehensive typology of real commodity prices, comprising long-run trends, medium-run cycles,...

In this paper we study the stochastic behavior of the prices and volatilities of a sample of six of the most important commodity markets and we compare these properties to those of the equity market. We observe a substantial degree of heterogeneity in the behavior of the series. Our findings...

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...