Macroeconomic Factors and Commodity Price Volatility
Macroeconomic Factors and Commodity Price Volatility

Author(s): Kamil Smolik, Oldřich Rejnuš
Subject(s): Supranational / Global Economy, Economic history, Transformation Period (1990 - 2010), Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: commodity markets; macroeconomic determinants;
Summary/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.

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