Macroeconomic Factors and Commodity Price Volatility

D 2014

Macroeconomic Factors and Commodity Price Volatility

SMOLÍK, Kamil and Oldřich REJNUŠ

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

Language

English

Type of outcome

Stať ve sborníku

Field of Study

50600 5.6 Political science

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

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

Abstract

V originále

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.

Citovat

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.

@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.

Detailed Information on Publication Record