Publication details
Macroeconomic Factors and Commodity Price Volatility
| Authors | |
|---|---|
| Year of publication | 2014 |
| Type | Article in Proceedings |
| Conference | European Financial Systems 2014: Proceedings of the 11th International Scientific Conference |
| MU Faculty or unit | |
| Citation | |
| Field | Management and administrative |
| Keywords | commodity markets; macroeconomic determinants |
| Description | In this paper, the relation between prices of individual sectors of commodity markets and values of selected macroeconomic determinants from January 2000 to September 2013 is analysed. This period is characteristic for its fast growth of investments into commodity assets by non-commercial market participants. To describe mutual dependence of development of individual classes of commodities assets and macroeconomic determinants, Spearman correlation coefficient is used. The results of the research refer to relatively high dependence between prices of commodity assets and Nominal Effective Exchange Rate of ISD or World Bank Inflation Rate. The paper draws attention to the fact that since 2008, the dependence between changes of macroeconomic determinants values and price volatility of commodity assets has been growing, with the exception of precious metals, which shows descending dependence. It was proved that most sectors of commodity assets respond to these changes in a similar way, but with different intensity. |