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1 edition of macroeconomic determinants of commodity prices. found in the catalog.

macroeconomic determinants of commodity prices.

macroeconomic determinants of commodity prices.

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Published by International Monetary Fund in Washington, D.C .
Written in English


Edition Notes

Includes bibliographical references.

SeriesIMF working paper -- WP/94/9
ContributionsInternational Monetary Fund.
The Physical Object
Pagination28 p. ;
Number of Pages28
ID Numbers
Open LibraryOL16062537M

Although two macroeconomic fundamentals – global output and inflation – both have positive effects on real commodity prices, the fundamentals that seem to have the most consistent and strongest effects are microeconomic variables: volatility, inventories, and the spot-forward spread. There is also some evidence of a bandwagon effect. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading by:

Macroeconomic Determinants of Share Prices in the Nigerian Capital Market 3. Review of Literature. Macroeconomic variables and stock prices. Empirical evidences abound in literature supporting arguments of existing relationships between macroeconomic variables and stock prices. Findings by Arango et al (). What impact prices? If you are interested in reading the latest from the commodity markets, read our commodity news section. Below is a guide to various macro-economic or fundamental factors affecting commodity prices. After reading it, you will understand the major fundamental factors influencing price levels of commodities.

“The Economics of Commodity Markets written by Julien Chevallier and Florian Ielpo is an exceptionally valuable and up-to-date reference for investment professionals and researchers interested in commodity markets. The book reviews how econometric and economic techniques are applied to descriptive analysis of different commodity markets and Cited by: 9. Macroeconomic factors as determinants of company value in the context of the Ohlson residual income valuation model; Greek findings, Vergos K., Christopoulos A., Kalogirou V. (), SSRN Working Paper and the use of factors such as commodity prices, discount rates, and market level in some Macroeconomic factors as determinants of Author: Konstantinos P. Vergos, Apostolos G. Christopoulos, Vasilios Kalogirou.


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Macroeconomic determinants of commodity prices Download PDF EPUB FB2

Macroeconomic determinants has evolved over time. Developments in Commodity Markets The decline in the prices of non-oil commodities in real terms in the. "The Macroeconomic Determinants of Commodity Prices," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pagesJune.

Eduardo Borensztein & Carmen Reinhart, " The Macroeconomic Determinants of Commodity Prices," IMF Working Papers 94/9, International Monetary Fund. The “traditional structural approach” to the determination of real commodity prices has relied exclusively on demand factors as the fundamentals that explain the behavior of commodity prices.

This framework, however, has been unable to explain the marked and sustained weakness in commodity prices during the s and s. This paper extends that framework in two Cited by: 7. The Macroeconomic Determinants of Commodity Prices Article (PDF Available) in IMF Staff Papers 41(2) June with Reads How we measure 'reads'.

The Macroeconomic Determinants of Commodity Prices Reinhart, Carmen and Borensztein, Eduardo University of Maryland June Online at MPRA Paper No. posted 09 Apr UTCCited by: CHAPTER 4 Macroeconomic Determinants of Commodity Futures Returns Zeno Adams Research Assistant Endowed Chair of Macroeconomic determinants of commodity prices.

book Management European Business School (EBS) International University Schloss Reichartshausen Roland Füss, Ph.D. Professor of - Selection from The Handbook of Commodity Investing [Book]. The results show that the K* algorithm predicts an accuracy of –% for three of the four domestic commodity derivatives so that this algorithm is successful in identifying similar properties between global macroeconomic variables and domestic commodity by: 1.

Macroeconomic Performance During Commodity Price Booms and Busts Luis Felipe Céspedes, Andrés Velasco. NBER Working Paper No. Issued in November NBER Program(s):International Finance and Macroeconomics, Monetary Economics Fluctuations in commodity prices are often associated with macroeconomic volatility.

The “traditional structural approach” to determining real commodity prices has relied exclusively on demand factors as the fundamentals that explain the behavior of commodity prices. This framework, however, has been unable to explain the marked and sustained weakness in these prices during the s and s.

This paper extends that framework in two Cited by: "The Macroeconomic Determinants of Commodity Prices," MPRA PaperUniversity Library of Munich, Germany. Sapsford, David & Balasubramanyam, V. N., " The long-run behavior of the relative price of primary commodities: Statistical evidence and policy implications," World Development, Elsevier, vol.

22(11), pagesby: 4. Current research on the determinants of commodity volatility has failed to explicitly test the effects of macroeconomic variables on the daily price changes in commodities. 3 Therefore, when estimating the impact of macroeconomic variables on the volatility of commodity futures, we decompose the volatility into short-run and long-run components Cited by: Macroeconomic Performance ¸˛During Commodity Price Booms and Busts Luis Felipe Céspedes and Andrés Velasco NBER Working Paper No.

November JEL No. E52,E58,F31,F32,F36,F41 ABSTRACT Fluctuations in commodity prices are often associated with macroeconomic volatility. But not all nations are created equal in this regard. MACROECONOMIC DETERMINANTS OF COMMODITY PRICES impact on prices of the sharp increase in the commodity exports of the developing countries.

In addition, we take a broader view of "world" aggregate demand that extends beyond the major industrial countries and includes output developments in Eastern Europe and the former Soviet Union.

The other strand of the literature directly investigates how macroeconomic factors help explain the cross-section of commodity futures returns. Jagannathan () tests the consumption-based Intertemporal Capital Asset Pricing Model (ICAPM) using corn, wheat and soybeans from January to December Cited by: the real U.S.

dollar exchange rate, and world commodity supplies as key determinants of prices (Borenzstein and others, ; Borenzstein and Reinhart, ). Brunner () explores the important effect of climatic variability— arising from El Nino and La Nina weather patterns—on commodity supplies and the evolution of world commodity prices.

Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors.

allows a role for macroeconomic determinants of real commodity prices, along the lines of the “overshooting” model: the resulting model includes global GDP and the real interest rate as macroeconomic factors.

Our model also includes microeconomic determinants; we include inventory levels, measures of uncertainty, and the spot-forward spread. The determinants of primary commodity prices, and the terms on which they are traded for manufactured goods, are topics of considerable importance for development economists.

The Economics of Primary Commodities brings together in one volume important new work by a group of leading scholars on the economic analysis of primary commodity markets. The shortage of saving over investment was reflected in continued poor economic performance in Pakistan (Hasnain, et al.

The poor economic performance of Pakistan was also due to external factors such as the low commodity prices in international market and shortage of skilled labor force.

The Economics of Commodity Prices. Financialization of Commodity Prices as Barometers Commodity Bubbles and Hoarding Macroeconomic Performance During Commodity Price Booms and Busts Commodity Futures and Prediction Commodity Prices and Markets - An NBER Book National Bureau of Economic Research, Massachusetts Ave., Cambridge, MA.

Macroeconomic Factors and the Cross-Section of Commodity Returns Hua (Helen) Shangy Febru Abstract This study explores an economic explanation of commodity prices by con-sidering the macro-economic exposure of commodity returns.

Through esti-mating the stochastic discount factor representation of the linear asset pricing.Primary Commodity Prices and Macroeconomic Variables A Long-run Relationship Theodosios Palaskas and Panos Varangis There is a long-run quantifiable relationship betv een real inter-est rates and real commodity prices, but not between real commodity prices and either consumer prices or the money sup-ply.This paper examines the relationship between commodities index prices and macroeconomic variables in India over the period of January to June using the time series techniques of ARDL model and ECM model.

The ARDL test suggests that there is longrun cointegration between agriculture index price and macroeconomic variables, and also between energy index Author: Pratap Kumar Jena.