Author : Lin Gao
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (611 download)
Book Synopsis The Impact of Macroeconomic Factors on Commodity Prices by : Lin Gao
Download or read book The Impact of Macroeconomic Factors on Commodity Prices written by Lin Gao and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity prices are subject to macroeconomic influences both in the long run and short run. A detailed theoretical explanation of their properties in affecting commodity prices is provided at the beginning. By focusing on the general commodity price series CRB index and its metals subindex in the empirical analysis, we find that commodity prices and other macroeconomic factors such as industrial production, oil price, and exchange rates are driven by one common trend, i.e. they are cointegrated. With the aid of a Structural VAR model, we detect contradictory results of real interest rates to the theory and confirm the role of effective exchange rates in impacting commodity prices. At the same time, new findings regarding the roles of these variables after 2000 come to light, which correspond to our assumption that commodity prices are more closely related to macroeconomic variables in the price volatile times.