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Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases

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  • Agnello, Luca
  • Castro, Vítor
  • Hammoudeh, Shawkat
  • Sousa, Ricardo M.

Abstract

We investigate the role of global factors in explaining the length of commodity price cycle phases, using a continuous-time Weibull duration model and data for a panel of 33 countries over the period 1980Q1–2015Q4. We find evidence of increasing (constant) positive duration dependence for commodity price booms and busts (normal time spells). Global macroeconomic conditions - in particular, inflation, economic policy uncertainty and monetary policy actions - significantly affect the duration of all commodity price cycle phases. Global environmental conditions also impact the duration of commodity price booms, with a rise in average temperature (rainfall) increasing (reducing) their lengths. A larger number of military conflicts around the globe is associated with shorter booms and busts. Finally, we find that higher oil prices are linked with longer booms and shorter busts.

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  • Agnello, Luca & Castro, Vítor & Hammoudeh, Shawkat & Sousa, Ricardo M., 2020. "Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases," Energy Economics, Elsevier, vol. 90(C).
    • Handle: RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320302024
    DOI: 10.1016/j.eneco.2020.104862
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    Keywords

    Commodity price cycles; Continuous-time Weibull model; Global factors;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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