Similar Search Results

Fundamentals or Fads? Pipes, Not Punting, Explain Commodity Prices and Volatility

Fenton, Colin P. - 2011

In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year 12 of a projected 25), it is vital to understand that production cost is a fundamental. Moreover, marginal production costs are among the most powerful drivers of commodity...

Persistent link: https://www.econbiz.de/10013120803

Inflation Responses to Commodity Price Shocks - How and Why Do Countries Differ?

Ustyugova, Yulia - 2012

This paper relates the inflationary impact of commodity price shocks across countries to a broad range of structural characteristics and policy frameworks over the period 2001-2010, using several approaches. The analysis suggests that economies with higher food shares in CPI baskets, fuel...

Persistent link: https://www.econbiz.de/10013098581

Price Volatility, Speculation and Excessive Speculation in Commodity Markets : Sheep or Shepherd Behaviour?

Algieri, Bernardina - 2012

The present study aims to investigate the dynamics of primary commodity prices and the role of speculation over time. In particular the relationship between speculation and price volatility on the one side, and the linkage between excessive speculation and price volatility on the other side, is...

Persistent link: https://www.econbiz.de/10013105680

Commodity Price Volatility, Democracy and Economic Growth

Arezki, Rabah - 2013

We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a significant increase in non-resource GDP growth in...

Persistent link: https://www.econbiz.de/10013092229

Effects of Speculation and Interest Rates in a "Carry Trade" Model of Commodity Prices

Frankel, Jeffrey A. - 2013

The paper presents and estimates a model of the prices of oil and other storable commodities, a model that can be characterized as reflecting the carry trade. It focuses on speculative factors, here defined as the trade-off between interest rates on the one hand and market participants'...

Persistent link: https://www.econbiz.de/10013075796

Branching Networks and Geographic Contagion of Commodity Price Shocks

Wang, Teng - 2020

This paper studies the role of banks' branching networks in propagating the oil shocks. Banks that were exposed to the oil shocks through their operations in oil-concentrated counties experienced a liquidity drainage in the form of a declining amount of demand deposit inflow as well as an...

Persistent link: https://www.econbiz.de/10012834044

Time-Variations in Commodity Price Jumps

Diewald, Laszlo - 2019

In this paper, we study jumps in commodity prices. Unlike assumed in existing models of commodity price dynamics, a simple analysis of the data reveals that the probability of tail events is not constant but depends on the time of the year, i.e. exhibits seasonality. We propose a stochastic...

Persistent link: https://www.econbiz.de/10012905261

When Do Commodity Prices Matter for the Carry Trade? The Role of FX Liquidity

Jeanneret, Alexandre - 2019

Carry traders invest in high-yield currencies, which are typically the currencies of commodity exporters. Guided by this stylized fact, we study the impact of commodity prices on carry trade performance. Commodity price shocks contemporaneously explain and predict carry trade returns but only...

Persistent link: https://www.econbiz.de/10012871608

World Shocks, World Prices, and Business Cycles : An Empirical Investigation

Fernàndez, Andrés - 2016

intratemporal relative price such as the terms of trade and possibly an intertemporal price such as the world interest rate. This … paper presents an empirical framework in which multiple commodity prices and the world interest rate transmit world … disturbances. Estimates on a panel of 138 countries over the period 1960-2015 indicate that world shocks explain on average 33 …

Persistent link: https://www.econbiz.de/10012979352

Does the Volatility of Commodity Prices Reflect Macroeconomic Uncertainty?

Joets, Marc - 2016

paper tackles this issue through the estimation of a threshold vector autoregressive (TVAR) model on a sample of 19 …

Persistent link: https://www.econbiz.de/10012979596