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Interest rate dynamics and commodity prices
[Dynamique des taux d'intérêt et prix des matières premières]

Author

Listed:
  • Christophe C. Gouel

    (CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique, UMR PSAE - Paris-Saclay Applied Economics - AgroParisTech - Université Paris-Saclay - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Qingyin Ma

    (CUEB - Capital University of Economics and Business)

  • John Stachurski

    (ANU - Australian National University)

Abstract

In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the sign and magnitude of interest rate effects. Purely empirical studies struggle to address these issues because of the complex interactions between interest rates, prices, supply changes, and aggregate demand. To move this debate to a solid footing, we extend the competitive storage model to include stochastically evolving interest rates. We establish general conditions for existence and uniqueness of solutions and provide a systematic theoretical and quantitative analysis of the interactions between interest rates and prices.

Suggested Citation

  • Christophe C. Gouel & Qingyin Ma & John Stachurski, 2024. "Interest rate dynamics and commodity prices [Dynamique des taux d'intérêt et prix des matières premières]," Post-Print hal-04709125, HAL.
    • Handle: RePEc:hal:journl:hal-04709125
    DOI: 10.1016/j.jet.2024.105915
    Note: View the original document on HAL open archive server: https://hal.inrae.fr/hal-04709125v1
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    More about this item

    Keywords

    Commodity prices; Time-varying interest rate; Competitive storage; commodity prices time-varying interest rate competitive storage. JEL Classification: C62 C63 E43 E52 G12 Q02; commodity prices; time-varying interest rate; competitive storage. JEL Classification: C62; Prix des matières premières; Stockage; Taux d'intérêt;
    All these keywords.

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium

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