Commodity Prices, Commodity Currencies, and Global Economic Developments
نویسندگان
چکیده
منابع مشابه
Commodity Prices, Commodity Currencies, and Global Economic Developments
In this paper, we seek to produce forecasts of commodity price movements that can systematically improve on naïve statistical benchmarks. We revisit how well changes in commodity currencies perform as potential efficient predictors of commodity prices, a view emphasized in the recent literature. In addition, we consider different types of factor-augmented models that use information from a larg...
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The decade prior to the Great Recession saw a boom in global trade, including a rapid rise in commodity prices, trade volumes, and, consequently, in the cost of transporting goods around the world. At the same time currencies of commodityexporting currencies appreciated, boosting the carry trade profits in foreign exchange markets. The onset of the Global Recession led to a sharp reversal in al...
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Financial returns, although seemingly unpredictable, have been successfully modelled using market and macro-economic factors. The effect of these factors, however, may vary with time and only be statistically significant for specific periods. This paper utilises factors that have been found to capture financial market returns and applies them to the modelling of a broad set of commodities. A ch...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1465964