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@inproceedings{1202858, author = {Smolík, Kamil and Rejnuš, Oldřich}, address = {Brno}, booktitle = {European Financial Systems 2014: Proceedings of the 11th International Scientific Conference}, edition = {1st edition}, editor = {Deev, O Kajurova, V Krajicek, J.}, keywords = {commodity markets; macroeconomic determinants}, howpublished = {tištěná verze "print"}, language = {eng}, location = {Brno}, isbn = {978-80-210-7153-7}, pages = {550-556}, publisher = {Masaryk University}, title = {Macroeconomic Factors and Commodity Price Volatility}, year = {2014} }
TY - JOUR ID - 1202858 AU - Smolík, Kamil - Rejnuš, Oldřich PY - 2014 TI - Macroeconomic Factors and Commodity Price Volatility PB - Masaryk University CY - Brno SN - 9788021071537 KW - commodity markets KW - macroeconomic determinants N2 - 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. ER -
SMOLÍK, Kamil and Oldřich REJNUŠ. Macroeconomic Factors and Commodity Price Volatility. In Deev, O Kajurova, V Krajicek, J. \textit{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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