Determinants of Commodity Prices
ثبت نشده
چکیده
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 change point recognition algorithm is adopted to account for shifting regimes within the commodity return distributions. Specific regimes within each commodity are identified and analysed allowing us to determine the factors that are driving commodity prices within those regimes. Written and Compiled by Ian Bell* under the supervision of Dr Robert Durand and Dr Alexander Szimayer August 2004 (Working Paper) *Corresponding Author: UWA Business School. Crawley, Western Australia. Phone-(08) 94473920, [email protected]
منابع مشابه
Option Pricing on Commodity Prices Using Jump Diffusion Models
In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...
متن کاملEffects of U.S. Macroeconomic Shocks on International Commodity Prices: Emphasis on Price and Exchange Rate Pass-through Effects
Using a structural VAR with block exogeneity, diagonality and identifying restrictions, this paper analyzes: first, the macroeconomic linkages among the oil price, U.S. output, interest rate, money supply, general price level and exchange rate and second, the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity groups. By assuming the block ...
متن کاملImperfect Markets and Commodity Prices Under Demand Pull
This paper presents a theoretical view of imperfect market. It concludes that an increase in the price of products does not give any incentive to increasing production which shows the mechanism for upward trends in prices.
متن کاملCommodity Market Financialisation: A Closer Look at the Evidence
The past decade has seen a sharp increase in the level and volatility of commodity prices (Graph 1). This has occurred alongside a sharp increase in commodity demand from emerging market economies, but also in parallel with a rapid increase in both commodity derivatives trading and financial investor activity in commodity markets (Domanski and Heath 2007; Dwyer, Gardner and Williams 2011). That...
متن کاملThe Relationship between Commodity Prices and Output/exports
Primary commodities are important exports for Fiji, contributing around 60 to 65 percent to total export receipts. Prices of primary commodities have been very unstable, subject to both secular and temporary fluctuations, which in turn, has given rise to unevenness in the value of export earnings and reserve levels. To date, there has not been any empirical evidence on the influence of commodit...
متن کاملThe Commodity–Consumer Price Connection: Fact or Fable?
nterest in commodity prices as indicators of consumer price inflation has ebbed and flowed with the rise and fall in commodity prices themselves. True to form, as commodity prices have surged in the last two years (Chart 1), interest in their predictive power has returned. Inflation hawks point to an outpouring of studies in the late 1980s showing a strong empirical connection between commodity...
متن کامل