SMOLÍK, Kamil and Oldřich REJNUŠ. Macroeconomic Factors and Commodity Price Volatility. In Deev, O Kajurova, V Krajicek, J. European Financial Systems 2014: Proceedings of the 11th International Scientific Conference. 1st edition. Brno: Masaryk University, 2014, p. 550-556. ISBN 978-80-210-7153-7.
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Basic information
Original name Macroeconomic Factors and Commodity Price Volatility
Authors SMOLÍK, Kamil (203 Czech Republic) and Oldřich REJNUŠ (203 Czech Republic, guarantor, belonging to the institution).
Edition 1st edition. Brno, European Financial Systems 2014: Proceedings of the 11th International Scientific Conference, p. 550-556, 7 pp. 2014.
Publisher Masaryk University
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50600 5.6 Political science
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form printed version "print"
RIV identification code RIV/00216224:14560/14:00076869
Organization unit Faculty of Economics and Administration
ISBN 978-80-210-7153-7
UT WoS 000350701500073
Keywords in English commodity markets; macroeconomic determinants
Tags International impact, Reviewed
Changed by Changed by: Mgr. Daniela Marcollová, učo 111148. Changed: 3/4/2015 13:17.
Abstract
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.
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