Booms and slumps in world commodity prices

Cashin, Paul; McDermott, C. John; Scott, Alasdair

doi:10.1016/s0304-3878(02)00062-7

Cited by 197 publications

(116 citation statements)

References 16 publications

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“…Cashin, et al (2000) report "typical" commodity prices half lives in the range of 5 years. 6 With respect the issue of co-movement, Cashin, McDermott and Scott (2002) find evidence of synchronization in the prices of related commodities. 7 As mentioned above, the surge in commodity prices in the 2000s has renewed the interest for the co-movement of commodity prices and their determinants.…”

Section: Related Empirical Literature On Commodity Pricesmentioning

confidence: 99%

Primary commodity prices: Co-movements, common factors and fundamentals

Byrne

Fazio

Fiess

2013

Journal of Development Economics

167

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The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, we document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on the co-movement of commodity prices.

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Section: Related Empirical Literature On Commodity Pricesmentioning

confidence: 99%

Primary commodity prices: Co-movements, common factors and fundamentals

Byrne

Fazio

Fiess

2013

Journal of Development Economics

167

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“…Arriving at these answers is not simple but through economic analysis taking into account the historical, cyclical movements of gold price in relation to stock markets, it becomes possible to approximate to reality. Such cyclical movements are a dominant feature of commodity prices (Cashin, McDermott & Scott, 2002), an observation that guides this research to its conclusions.…”

Section: Athe Volatile Gold Fixingmentioning

confidence: 57%

Gold prices: Analyzing its cyclical behavior

Gutiérrez¹,

Franco

Campuzano

2013

Lec Econ

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“…The distribution of returns is slighty skewed and large absolute returns occur more frequently than normal. For further stylized facts of commodity price dynamics in general consult Borenzstein et al (1994) or Cashin et al (2002).…”

Section: The Datamentioning

confidence: 99%

Non Linear Oil Price Dynamics - A Tale of Heterogeneous Speculators?

Slopek

Reitz

2008

SSRN Journal

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While some of the recent surge of oil prices can be attributed to robust global demand at a time of tight production capacities, commentators occasionally also blame the impact of speculators for part of the price pressure. We propose an empirical oil market model with heterogeneous speculators. Whereas trend-extrapolating chartists may tend to destabilize the market, fundamentalists exercise a stabilizing effect on the price dynamics. Using monthly data for WTI oil prices, our STR-GARCH estimates indicate that oil price cycles may indeed emerge due to the nonlinear interplay between different trader types.

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Booms and slumps in world commodity prices

Cited by 197 publications

References 16 publications

Primary commodity prices: Co-movements, common factors and fundamentals

Primary commodity prices: Co-movements, common factors and fundamentals

Gold prices: Analyzing its cyclical behavior

Non Linear Oil Price Dynamics - A Tale of Heterogeneous Speculators?

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