Understanding international commodity price fluctuations

Arezki, Rabah; Loungani, Prakash; Ploeg, Rick van der; Venables, Anthony J.

doi:10.1016/j.jimonfin.2013.08.002

Cited by 73 publications

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“…As regards correlation, electricity generation results mainly from the conversion of fossil fuels such as natural gas (Arezki et al, 2014;Hartley et al, 2008) and crude oil (without forgetting coal as well). 2 Thus, an energy price correlation arises between electricity, on one side, and both crude oil and natural gas, on the other side (Emery and Liu, 2002;Kilian, 2014;Moutinho et al, 2011).…”

Section: Crude Oil and Natural Gas Pricesmentioning

confidence: 99%

Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas

Gatfaoui

2015

Energy Policy

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Section: Crude Oil and Natural Gas Pricesmentioning

confidence: 99%

Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas

Gatfaoui

2015

Energy Policy

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“…In this paper we show that the Chilean exchange rate has the ability to predict the returns of the London Metal Exchange Index (LMEX or LME Index) and of the six primary nonferrous metals that are part of the index: aluminum, copper, lead, nickel, tin and zinc 2 . Our results are important in two dimensions.…”

Section: Introductionmentioning

confidence: 99%

Forecasting Base Metal Prices with Commodity Currencies

Pincheira

Hardy

2018

SSRN Journal

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In this paper we show that the Chilean exchange rate has the ability to predict the returns of the London Metal Exchange Index and of the six primary non-ferrous metals that are part of the index: aluminum, copper, lead, nickel, tin and zinc. The economic relationship hinges on the present-value theory for exchange rates, a ‡oating exchange rate regime and the fact that copper represents about a half of Chilean exports and nearly 45% of Foreign Direct Investment. Consequently, the Chilean peso is heavily a¤ected by ‡uctuations in the copper price. As all six base metal prices show an important comovement, we test whether the relationship between copper prices and Chilean exchange rates also holds true when it comes to the six primary non-ferrous metals. We …nd interesting evidence of predictability both in-sample and out-of-sample. Our paper is part of a growing literature that in the recent years has evaluated and called into question the ability of commodity currencies to forecast commodity prices.

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“…The dramatic increase in commodity prices during the last decade renewed interest in modeling their behavior (cf. Humphreys 2010, Arezki et al, 2014). Metals constitute an important subset of nonagricultural and non-fuel commodities, which are related to both real economy due to business cycles (cf.…”

Section: Introductionmentioning

confidence: 99%

Modeling dynamics of metal price series via state space approach with two common factors

Golosnoy

Rossen

2017

Empir Econ

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. www.econstor.eu November 2014 All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means (electronic, mechanical, photocopying, recording or otherwise) without the prior written permission of the publisher. Terms of use: Documents in Modeling Dynamics of Metal Price Series via State Space Approach with Two Common FactorsVasyl Golosnoy * and Anja Rossen † November 13, 2014 AbstractIn this paper we model the dynamics of 100 years long monthly price series of eight non-ferrous and precious metals. Applying the state space framework we impose and identify two common factors related to non-ferrous and precious metals, respectively, which exhibit quite distinct autoregressive dynamics.The preferred two common factor specifications outperform single common factor approaches which are usually used in the current literature. Furthermore, we provide interpretation for the extracted common factors by investigating their exposure to the major macroeconomic fundamentals.

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Understanding international commodity price fluctuations

Cited by 73 publications

References 0 publications

Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas

Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas

Forecasting Base Metal Prices with Commodity Currencies

Modeling dynamics of metal price series via state space approach with two common factors

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