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- Enrique Alberola-Ila & Ricardo Sousa (2017): Assessing fiscal policy through the lens of the financial and the commodity price cycles
We assess the link between fiscal policy and credit and commodity price booms and busts. We do so by investigating the impact of financial and commodity price cycles on the identification of episodes of fiscal consolidation and stimulus and the size of the fiscal impulse. We find that controlling for the credit cycle has an impact on the magnitude of the change in the cyclically-adjusted budget balance. The impact is lower in the case of the commodity price cycle. ... Again, the impact of the commodity price cycle is smaller and limited to some specific cases.
RePEc:bis:biswps:638 Save to MyIDEAS - Agnello, Luca & Castro, Vítor & Hammoudeh, Shawkat & Sousa, Ricardo M. (2020): Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases
We investigate the role of global factors in explaining the length of commodity price cycle phases, using a continuous-time Weibull duration model and data for a panel of 33 countries over the period 1980Q1–2015Q4. We find evidence of increasing (constant) positive duration dependence for commodity price booms and busts (normal time spells). Global macroeconomic conditions - in particular, inflation, economic policy uncertainty and monetary policy actions - significantly affect the duration of all commodity price cycle phases. Global environmental conditions also impact the duration of commodity price booms, with a rise in average temperature (rainfall) increasing (reducing) their lengths. ... Finally, we find that higher oil prices are linked with longer booms and shorter busts.
RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320302024 Save to MyIDEAS - Kablan, Sandrine & Ftiti, Zied & Guesmi, Khaled (2017): Commodity price cycles and financial pressures in African commodities exporters
In this study, we examine the interdependence between the credit and commodity price cycles among African commodity exporters. ... Results of our analyses suggest that persistent commodity price shocks exert a greater impact on real economy than transitory fluctuations. Similar patterns can be derived for different types of commodities.
RePEc:eee:ememar:v:30:y:2017:i:c:p:215-231 Save to MyIDEAS - Marañon, Matias & Kumral, Mustafa (2018): Exploring the Elliott Wave Principle to interpret metal commodity price cycles
The Wave Principle, known as Elliott Wave Principle (EWP), is a theory widely used in technical analysis and is based on the idea that the fluctuations in markets follow recognizable and repetitive cycles, which are the reflection of market participants’ mass psychology. Considering that metal commodity prices have empirically demonstrated cyclical behavior and investors and speculators’ mass physiology could be becoming an influential factor in commodities price formation given their increasing participation in last decades, this article explores whether EWP can be used to analyze commodity cycles. To see the applicability of EWP to commodity markets, a Monte-Carlo simulation was conducted over detected Elliott waves in the prices of gold, silver and copper, as well as on a metal price index. The results of the investigation suggest that EWP would not be a strong approach to analyze commodity markets in a cycle basis, which is confirmed by the results of the simulation. Nevertheless, there is evidence that mass psychology affects commodity markets as posited by Elliott, and therefore this factor could be considered as an explanatory variable of commodity price formation and cycles, for what is proposed to test its causality.
RePEc:eee:jrpoli:v:59:y:2018:i:c:p:125-138 Save to MyIDEAS - William Ginn (2023): World Output and Commodity Price Cycles
This study investigates the cyclical patterns of energy, agriculture, and metals and minerals (MetMin) commodity prices. We identify three super cycles since 1960, and a potential fourth arising from the Ukraine crisis and global COVID-19 pandemic. Employing a Structural Vector Autoregression (SVAR) approach, we establish an empirical relationship between output, CPI, and commodity prices. Our analysis reveals that an output shock leads to a general increase in all commodity prices, where the highest impact is on energy inflation. ... Our findings enhance understanding of these dynamics, offering important insights for policymakers and informing the public.Highlights We analyze the cyclical patterns of energy, agriculture and MetMin commodity prices.Real output, CPI and commodities exhibit the same cyclical patterns.A shock to output increases all commodities, where the highest response is energy inflation.We find ‘second-round' effects, where agriculture prices have the highest impact on inflation.
RePEc:taf:intecj:v:37:y:2023:i:4:p:530-554 Save to MyIDEAS - Carola Moreno & Carlos Saavedra & Bárbara Ulloa (2014): Commodity Price Cycles and Financial Stability
Commodity exporter economies usually suffer when a boom in commodity prices ends, especially if the cycle ends abruptly. ... In this paper we look at these two aspects, and study the relationship between commodity prices, output growth and financial stability, the latter proxied by domestic credit growth. Given the asymmetry we observe in boom and bust cycles, we estimate the output cost of commodity price shocks on separate samples, with a special emphasis in emerging economies. In particular, we focus on the output cost of a commodity price reversal given the credit increase observed during a boom event. ... That is, rapid credit growth –regardless of its initial level—exacerbates the cost of a commodity price reversal.
RePEc:chb:bcchwp:738 Save to MyIDEAS - Kabundi,Alain Ntumba & Zahid,Hamza (2023): Commodity Price Cycles :Commonalities, Heterogeneities, and Drivers
This paper studies commodity price cycles and their underlying drivers using a dynamic factormodel. The study employs a sample of 39 monthly commodity prices over 1970:01 to 2019:12. ... (i) Thereexists a global cycle in commodity markets that accounts for an increasing fraction of co-movement in commodity pricesover the past two decades, particularly for energy, metals, and precious metals. (ii) The results are heterogeneousacross groups of commodities, with group-specific commodity cycles existing for grains and precious metals over the fullsample period, 1970–2019. Metal and energy prices exhibit within-group synchronization over 1970–99; however, inrecent years, their movements have become increasingly aligned with the global business cycle.
RePEc:wbk:wbrwps:10401 Save to MyIDEAS - Sandrine Kablan & Zied Ftiti & Khaled Guesmi (2017): Commodity price cycles and financial pressures in African commodities exporters
[Cycles de prix des matières premières et tensions financières dans les pays exportateurs de matières premières]
In this study, we examine the interdependence between the credit and commodity price cycles among African commodity exporters. ... Results of our analyses suggest that persistent commodity price shocks exert a greater impact on real economy than transitory fluctuations. Similar patterns can be derived for different types of commodities.
RePEc:hal:journl:hal-04281443 Save to MyIDEAS - Boako, Gideon & Alagidede, Imhotep Paul & Sjo, Bo & Uddin, Gazi Salah (2020): Commodities price cycles and their interdependence with equity markets
This study examines the time-scale connectedness between returns on nine African stock markets and commodities markets across energy, agriculture, metals, and beverage. First, we examine multi-scale (short-, medium-, and long-run) wavelet structural relationships between African stocks and commodities using the bivariate wavelet coherence. We establish that commodities and African stock returns co-move across multiple scales and co-integrate in the long run, albeit sparse. Second, we analyze the portfolio performance of the African stock markets with other commodities using wavelet-based diversified and undiversified portfolios in a translation-invariant manner to calculate the scale-specific Sharpe ratios over different sub-periods rather than giving a one-shot look for the entire sample. ... The results confirm that having a combined portfolio of commodities and equities improves performance over different investment horizons.
RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302243 Save to MyIDEAS - Mario Lefebvre & Stephen S. Poloz (1996): The Commodity-Price Cycle and Regional Economic Performance in Canada
As the title of the paper suggests, we believe that , to a significant degree, regional diversity in economic performance reflects movements in Canada's terms of trade, which very frequently are tied to developments in world commodity markets.
RePEc:bca:bocawp:96-12 Save to MyIDEAS