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What Drives Commodity Prices?

Citations

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Cited by:

  1. Sipan Aslan & Ceylan Yozgatligil & Cem Iyigun, 2018. "Temporal clustering of time series via threshold autoregressive models: application to commodity prices," Annals of Operations Research, Springer, vol. 260(1), pages 51-77, January.
  2. Kim, Hyeongwoo & Zhang, Yunxiao, 2020. "Investigating properties of commodity price responses to real and nominal shocks," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  3. Martin T. Bohl & Martin Stefan, 2020. "Return dynamics during periods of high speculation in a thinly traded commodity market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 145-159, January.
  4. Claudio-Quiroga, Gloria & Gil-Alana, Luis A. & Maiza-Larrarte, Andoni, 2023. "Mineral prices persistence and the development of a new energy vehicle industry in China: A fractional integration approach," Resources Policy, Elsevier, vol. 82(C).
  5. Matsumoto, Akito & Pescatori, Andrea & Wang, Xueliang, 2023. "Commodity prices and global economic activity," Japan and the World Economy, Elsevier, vol. 66(C).
  6. West, Kenneth D. & Wong, Ka-Fu, 2014. "A factor model for co-movements of commodity prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 289-309.
  7. Allayioti, Anastasia & Venditti, Fabrizio, 2024. "The role of comovement and time-varying dynamics in forecasting commodity prices," Working Paper Series 2901, European Central Bank.
  8. Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option pricing revisited: The role of price volatility and dynamics," Journal of Commodity Markets, Elsevier, vol. 33(C).
  9. Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2022. "Common factors of commodity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
  10. Joshua G. Maples & B. Wade Brorsen, 2022. "Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 70(2), pages 139-152, June.
  11. Chen, Peng, 2015. "Global oil prices, macroeconomic fundamentals and China's commodity sector comovements," Energy Policy, Elsevier, vol. 87(C), pages 284-294.
  12. Landajo, Manuel & Presno, Marıa Jose, 2022. "The prices of renewable commodities: a robust stationarity analysis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(02), January.
  13. Manuel Landajo & Mar'ia Jos'e Presno, 2024. "The prices of renewable commodities: A robust stationarity analysis," Papers 2402.01005, arXiv.org.
  14. Annalisa Marini & Steve McCorriston, 2019. "Weather, Prices and Spillovers," Discussion Papers 1905, University of Exeter, Department of Economics.
  15. Joseph P Byrne & Ryuta Sakemoto & Bing Xu, 2020. "Commodity price co-movement: heterogeneity and the time-varying impact of fundamentals [Oil price shocks and the stock market: evidence from Japan]," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 47(2), pages 499-528.
  16. Manuel Landajo & María José Presno, 2022. "The prices of renewable commodities: a robust stationarity analysis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(2), pages 447-470, April.
  17. Fabian Lutzenberger & Benedikt Gleich & Herbert G. Mayer & Christian Stepanek & Andreas W. Rathgeber, 2017. "Metals: resources or financial assets? A multivariate cross-sectional analysis," Empirical Economics, Springer, vol. 53(3), pages 927-958, November.
  18. Jebabli, Ikram & Arouri, Mohamed & Teulon, Frédéric, 2014. "On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility," Energy Economics, Elsevier, vol. 45(C), pages 66-98.
  19. Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2021. "Common factors and the dynamics of industrial metal prices. A forecasting perspective," Resources Policy, Elsevier, vol. 74(C).
  20. Chen, Peng & He, Limin & Yang, Xuan, 2021. "On interdependence structure of China's commodity market," Resources Policy, Elsevier, vol. 74(C).
  21. Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
  22. Reinhard Ellwanger, Stephen Snudden, 2021. "Predictability of Aggregated Time Series," LCERPA Working Papers bm0127, Laurier Centre for Economic Research and Policy Analysis.
  23. Shang, Hua & Yuan, Ping & Huang, Lin, 2016. "Macroeconomic factors and the cross-section of commodity futures returns," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 316-332.
  24. Rubaszek, Michał & Karolak, Zuzanna & Kwas, Marek, 2020. "Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective," Resources Policy, Elsevier, vol. 65(C).
  25. Walter Enders & Matthew T. Holt, 2014. "The Evolving Relationships between Agricultural and Energy Commodity Prices: A Shifting-Mean Vector Autoregressive Analysis," NBER Chapters, in: The Economics of Food Price Volatility, pages 135-187, National Bureau of Economic Research, Inc.
  26. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Volatility risk premia and future commodity returns," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 341-360.
  27. Marinela Adriana Finta & José Renato Haas Ornelas, 2018. "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series 479, Central Bank of Brazil, Research Department.
  28. Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
  29. Go, You-How & Lau, Wee-Yeap, 2021. "Extreme risk spillovers between crude palm oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  30. Finta, Marinela Adriana & Ornelas, José Renato Haas, 2022. "Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  31. Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2022. "Common factors and the dynamics of cereal prices. A forecasting perspective," Journal of Commodity Markets, Elsevier, vol. 28(C).
  32. Pincheira, Pablo & Hardy, Nicolas, 2018. "Forecasting Base Metal Prices with Commodity Currencies," MPRA Paper 83564, University Library of Munich, Germany.
  33. Pincheira Brown, Pablo & Hardy, Nicolás, 2019. "Forecasting base metal prices with the Chilean exchange rate," Resources Policy, Elsevier, vol. 62(C), pages 256-281.
  34. Pradkhan, Elina, 2017. "Financial activity in agricultural futures markets: evidence from quantile regressions," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 61(4), October.
  35. Lof, Matthijs & Nyberg, Henri, 2017. "Noncausality and the commodity currency hypothesis," Energy Economics, Elsevier, vol. 65(C), pages 424-433.
  36. Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option Pricing Revisited: The Role of Price Volatility and Dynamics," 2024 Annual Meeting, July 28-30, New Orleans, LA 343544, Agricultural and Applied Economics Association.
  37. Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022. "Common Drivers of Commodity Futures?," Working Papers 2207, Utrecht School of Economics.
  38. Elina Pradkhan, 2017. "Financial activity in agricultural futures markets: evidence from quantile regressions," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 61(4), pages 610-625, October.
  39. Esposti, Roberto, 2017. "What Makes Commodity Prices Move Together? An Answer From A Dynamic Factor Model," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 260889, European Association of Agricultural Economists.
  40. Go, You-How & Lau, Wee-Yeap, 2024. "Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange markets," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  41. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility risk premia and future commodities returns," BIS Working Papers 619, Bank for International Settlements.
  42. Martin T. Bohl & Martin Stefan, 2018. "Return Dynamics During Periods of High Speculation in a Thinly-Traded Commodity Market," CQE Working Papers 7418, Center for Quantitative Economics (CQE), University of Muenster.
  43. Xia, Tian & Zhou, Hang, 2023. "Commodity terms of trade co-movement: Global and regional factors," Journal of International Money and Finance, Elsevier, vol. 139(C).
  44. Anthony N. Rezitis, 2015. "Empirical Analysis of Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates using Panel Data Econometric Methods," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 851-868.
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