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SMOLÍK, K. REJNUŠ, O.
Original Title
Macroeconomic factors and commodity price volatility
English Title
Type
conference paper
Language
Czech
Original 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. 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.
English abstract
Keywords
Commodity markets, macroeconomic determinants.
Key words in English
Authors
SMOLÍK, K.; REJNUŠ, O.
RIV year
2014
Released
13. 6. 2014
Publisher
Masarykova Univerzita
Location
Lednice
ISBN
978-80-210-7153-7
Book
Proceedings of the 11th International Scientific Conference
NEUVEDENO
Pages from
550
Pages to
556
Pages count
7
BibTex
@inproceedings{BUT110653, author="Kamil {Smolík} and Oldřich {Rejnuš}", title="Macroeconomic factors and commodity price volatility", booktitle="Proceedings of the 11th International Scientific Conference", year="2014", pages="550--556", publisher="Masarykova Univerzita", address="Lednice", isbn="978-80-210-7153-7" }