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

Author

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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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    References listed on IDEAS

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    1. 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.
    2. Akram, Q. Farooq, 2009. "Commodity prices, interest rates and the dollar," Energy Economics, Elsevier, vol. 31(6), pages 838-851, November.
    3. repec:zbw:rwirep:0167 is not listed on IDEAS
    4. Gary Gorton & K. Geert Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," NBER Working Papers 10595, National Bureau of Economic Research, Inc.
    5. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
    6. R?za Demirer & Hsiang-Tai Lee & Donald Lien, 2013. "Commodity Financialization and Herd Behavior in Commodity Futures Markets," Working Papers 0221fin, College of Business, University of Texas at San Antonio.
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    2. 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.

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