How market structure drives commodity prices
نویسندگان
چکیده
منابع مشابه
Commodity Market Interest and Asset Prices∗
Open interest in commodity futures, which signals commodity market activity, contains information about future commodity and bond prices. High open-interest growth predicts high commodity-price inflation, a rising short rate, and low bond returns. Open interest is a more powerful predictor of commodity prices than the short rate, the yield spread, basis, and hedging pressure. While highly corre...
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In this paper we propose an endogenous growth model of commodity-rich economies in which: (i) long-run (steady-state) growth is endogenous and yet independent of commodity prices; (ii) commodity prices affect short-run growth through transitional dynamics; and (iii) the status of net commodity importer/exporter is endogenous. We argue that these predictions are consistent with historical eviden...
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Financial returns, although seemingly unpredictable, have been successfully modelled using market and macro-economic factors. The effect of these factors, however, may vary with time and only be statistically significant for specific periods. This paper utilises factors that have been found to capture financial market returns and applies them to the modelling of a broad set of commodities. A ch...
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ژورنال
عنوان ژورنال: Journal of Statistical Mechanics: Theory and Experiment
سال: 2017
ISSN: 1742-5468
DOI: 10.1088/1742-5468/aa933a