Detail publikace

Macroeconomic factors and commodity price volatility

SMOLÍK, K. REJNUŠ, O.

Originální název

Macroeconomic factors and commodity price volatility

Anglický název

Macroeconomic factors and commodity price volatility

Typ

článek ve sborníku ve WoS nebo Scopus

Jazyk

čeština

Originální abstrakt

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.

Anglický abstrakt

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.

Klíčová slova

Commodity markets, macroeconomic determinants.

Klíčová slova v angličtině

Commodity markets, macroeconomic determinants.

Autoři

SMOLÍK, K.; REJNUŠ, O.

Rok RIV

2014

Vydáno

13. 6. 2014

Nakladatel

Masarykova Univerzita

Místo

Lednice

ISBN

978-80-210-7153-7

Kniha

Proceedings of the 11th International Scientific Conference

ISSN

NEUVEDENO

Strany od

550

Strany do

556

Strany počet

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"
}