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How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index

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  • Kamil Smolík

    (Department of Economics, Brno University of Technology, Kolejní 4, 612 00 Brno, Czech Republic)

  • Michal Karas

    (Department of Finances, Brno University of Technology, Kolejní 4, 612 00 Brno, Czech Republic)

  • Oldřich Rejnuš

    (Department of Economics, Brno University of Technology, Kolejní 4, 612 00 Brno, Czech Republic)

Abstract

In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. In this article, the importance of chosen macroeconomic determinants to the price variability of one of the most important commodity indexes S & P GSCI by using the Boosted Trees method is quantified. The results obtained in the research show that changes in the monthly values of macroeconomic determinants reflect and can, according to the model used, explain the volatility of the monthly average index S & P GSCI Total Return to more than 75%. The most important macroeconomic determinants proved to be Nominal Effective Exchange Rate of USD or US - Short-term interest rates.

Suggested Citation

  • Kamil Smolík & Michal Karas & Oldřich Rejnuš, 2014. "How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 62(6), pages 1417-1425.
    • Handle: RePEc:mup:actaun:actaun_2014062061417
    DOI: 10.11118/actaun201462061417
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    1. repec:zbw:rwirep:0167 is not listed on IDEAS
    2. Belke, Ansgar H. & Bordon, Ingo G. & Hendricks, Torben W., 2014. "Monetary policy, global liquidity and commodity price dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 1-16.
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    Cited by:

    1. Piotr Bórawski & Mariola Grzybowska-Brzezińska & James William Dunn, 2015. "The Evaluation of Efficiency of Polish Agriculture," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(1), pages 175-183.
    2. Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020. "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, vol. 69(C).

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