We review how China has become a dominant influence in global commodity markets due to the economy's size and commodity intensity. We then focus on the emergence of China's credit market as a new influence on commodity prices using a vector autoregression model and recursive identification. We...

Brückner and Ciccone (2010) find that there is a higher probability of the outbreak of civil war in Sub-Sahara Africa following downturns in the international commodity prices of the countries' main traded commodities. I use R to replicate their results which yields identical estimates but...

We study the returns to a simple trend following strategy in commodity futures markets and their drivers. Returns correlate positively to calendar spread liquidity and constraints on intermediation capital. The strategy delivers low annualized excess returns in the period from 1990 to 2004 of...

The global economy is highly dependent on commodity prices, which are, by and large, the outcome of market-specific supply and demand fundamentals. As a result, driven by different determinants, financial assets and commodity prices should be negligibly correlated. However, systematically...

This paper examines how speculative futures trading affects commodity markets in terms of price impacts, volatility, and market quality. Contrary to the popular belief that speculators are responsible for the recent commodity price fluctuation, my analysis finds no evidence that speculators...

Dans cet article nous analysons l'impact de la volatilité des prix des matières premières sur les recettes fiscales des pays en développement, alors que la littérature s'est principalement concentrée sur son effet sur la croissance économique. Notre analyse quantitative porte sur 80 pays...

While there exists numerous studies on the macroeconomic effects of oil and commodity shocks, the literature is quite silent on the impact of macroeconomic uncertainty on oil and commodity prices and, especially, on their volatility. This paper tackles this issue through the estimation of a...

The recent slowdown of the People's Republic of China (PRC) has led to question to what extent the PRC demand of commodities can have an impact on commodity prices. We take into account the fact that commodity prices are characterized by structural breaks, and to this end we make use of novel...

This paper employs the copula approach to study the relationship between exchange rates and commodity prices for large commodity exporters. Using data for the nominal exchange rates of four commodity currencies (Australian, Canadian, and New Zealand dollars, and Norwegian krone) against the US...