Publication detail

Macroeconomic factors and commodity price volatility

SMOLÍK, K. REJNUŠ, O.

Original Title

Macroeconomic factors and commodity price volatility

English Title

Macroeconomic factors and commodity price volatility

Type

conference paper

Language

Czech

Original Abstract

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.

English abstract

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.

Keywords

Commodity markets, macroeconomic determinants.

Key words in English

Commodity markets, macroeconomic determinants.

Authors

SMOLÍK, K.; REJNUŠ, O.

RIV year

2014

Released

13. 6. 2014

Publisher

Masarykova Univerzita

Location

Lednice

ISBN

978-80-210-7153-7

Book

Proceedings of the 11th International Scientific Conference

ISBN

NEUVEDENO

Pages from

550

Pages to

556

Pages count

7

BibTex

@inproceedings{BUT110653,
  author="Kamil {Smolík} and Oldřich {Rejnuš}",
  title="Macroeconomic factors and commodity price volatility",
  booktitle="Proceedings of the 11th International Scientific Conference",
  year="2014",
  pages="550--556",
  publisher="Masarykova Univerzita",
  address="Lednice",
  isbn="978-80-210-7153-7"
}