Detail publikace

How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index

SMOLÍK, K. KARAS, M. REJNUŠ, O.

Originální název

How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index

Anglický název

How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index

Typ

článek v časopise - ostatní, Jost

Jazyk

čeština

Originální abstrakt

In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. In this article, the importance of chosen macroeconomic determinants to the price variability of one of the most important commodity indexes S & P GSCI by using the Boosted Trees method is quantified. The results obtained in the research show that changes in the monthly values of macroeconomic determinants reflect and can, according to the model used, explain the volatility of the monthly average index S & P GSCI Total Return to more than 75%. The most important macroeconomic determinants proved to be Nominal Eff ective Exchange Rate. of USD or US – Short-term interest rates.

Anglický abstrakt

In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. In this article, the importance of chosen macroeconomic determinants to the price variability of one of the most important commodity indexes S & P GSCI by using the Boosted Trees method is quantified. The results obtained in the research show that changes in the monthly values of macroeconomic determinants reflect and can, according to the model used, explain the volatility of the monthly average index S & P GSCI Total Return to more than 75%. The most important macroeconomic determinants proved to be Nominal Eff ective Exchange Rate.

Klíčová slova

Commodity index S & P GSCI, financialization, macroeconomic determinants.

Klíčová slova v angličtině

Commodity index S & P GSCI, financialization, macroeconomic determinants.

Autoři

SMOLÍK, K.; KARAS, M.; REJNUŠ, O.

Rok RIV

2014

Vydáno

31. 12. 2014

Nakladatel

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

Místo

Brno

ISSN

1211-8516

Periodikum

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

Ročník

62

Číslo

6

Stát

Česká republika

Strany od

1417

Strany do

1425

Strany počet

9

BibTex

@article{BUT112334,
  author="Kamil {Smolík} and Michal {Karas} and Oldřich {Rejnuš}",
  title="How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index",
  journal="Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis",
  year="2014",
  volume="62",
  number="6",
  pages="1417--1425",
  issn="1211-8516"
}