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Should Commodity Investors Follow Commodities' Prices?
SSRN Electronic Journal, 2018Summary: Most institutional investors gain access to commodities through diversified index funds, even though mean-reverting prices and low correlation among commodities' returns suggest that two-fund separation does not hold for commodities. In contrast to demand for stocks and bonds, we find that, on average, demand for commodities is largely ...
Paolo Guasoni +2 more
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Commodity prices and related equity prices
Canadian Journal of Economics/Revue canadienne d'économique, 2014AbstractThis paper shows that commodity‐sensitive stock price indices have strong power in predicting nominal and real commodity prices at short horizons (one‐month‐ahead predictions) using both in‐ and out‐of‐sample tests. The forecasts based on commodity‐sensitive stock price indices are able to significantly outperform naïve no‐change forecasts. For
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Commodity price effects on currencies
Journal of International Money and Finance, 2022Using quarterly data on four commodity exporting countries, we study the explanatory power of real commodity prices for predicting real effective exchange rates, with special attention to the separate roles of different sectoral commodity prices during alternative time periods. We find that the commodity price effect is non-uniform across countries and
Cheung, Yin-Wong, Wang, Wenhao
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The Dynamics of Commodity Prices [PDF]
SSRN Electronic Journal, 2011 In this paper we study the stochastic behavior of the prices and volatilities of a sample of six of the most important commodity markets and we compare these properties to those of the equity market. We observe a substantial degree of heterogeneity in the behavior of the series.
Brooks, Chris, Prokopczuk, Marcel
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National Institute Economic Review, 1980
After a brief description of the National Institute's approach to forecasting the price development of the major commodities in world trade this note presents a simple method for checking the aggregate outcome of that exercise.
G. F. Ray, H. J. Timm
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After a brief description of the National Institute's approach to forecasting the price development of the major commodities in world trade this note presents a simple method for checking the aggregate outcome of that exercise.
G. F. Ray, H. J. Timm
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Fukushima effect on commodity prices
2013 10th International Conference on the European Energy Market (EEM), 2013This paper analyzes the effect of the earthquake occurred in March 2011 in Japan on nuclear power generation. More specifically as natural consequence, the hypothesis of moving towards generating sources different from nuclear are explored. Given the CO2 constraints and the discussion on biomass generation affecting the agricultural commodities prices,
SCANDOLO, GIACOMO, Angelica Gianfreda
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1990
Abstract In 1976, inspired by the success of OPEC in raising the price of oil, the United Nations Conference on Trade and Development (UNCTAD) passed a resolution calling for an Integrated Programme for Commodities (IPC) as part of the more ambitious establishment of a New International Order.
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Abstract In 1976, inspired by the success of OPEC in raising the price of oil, the United Nations Conference on Trade and Development (UNCTAD) passed a resolution calling for an Integrated Programme for Commodities (IPC) as part of the more ambitious establishment of a New International Order.
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2014
On the basis of the previous statistical findings, it is the objective of this section to propose models for the stochastic simulation of commodity prices that are theoretically consistent with empirical data. In this regard, recap that mean reversion cannot generally be proven in past prices over the last two decades.
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On the basis of the previous statistical findings, it is the objective of this section to propose models for the stochastic simulation of commodity prices that are theoretically consistent with empirical data. In this regard, recap that mean reversion cannot generally be proven in past prices over the last two decades.
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2020
This chapter offers a detailed analysis of the goods routinely exchanged in Anglo-Gascon trade across 1300–1500, how their markets functioned, and the trajectories in their price and volume. The volatility in the market for wine is emphasised. Though trade levels declined spectacularly in scale over the fourteenth century, it remained the key export ...
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This chapter offers a detailed analysis of the goods routinely exchanged in Anglo-Gascon trade across 1300–1500, how their markets functioned, and the trajectories in their price and volume. The volatility in the market for wine is emphasised. Though trade levels declined spectacularly in scale over the fourteenth century, it remained the key export ...
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2011
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them.
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Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them.
openaire +1 more source