Using quarterly data on four commodity exporting countries, we study the explanatory power of real commodity prices for predicting real effective exchange rates, with special attention to the separate roles of different sectoral commodity prices during alternative time periods. We find that the...

We propose a new method to test for efficient risk pooling that allows for intertemporal smoothing, non-homothetic consumption, and heterogeneous risk and time preferences. The method is composed of three steps. The first one allows for precautionary savings by the aggregate risk pooling group....

In this study, we investigate whether geopolitical risk is a pricing factor in cross-sectional commodity futures returns. By estimating the exposure of commodity futures returns on a geopolitical risk index, we find that commodities with high-risk beta generate 7.92% higher annual returns than...

We estimate a global commodity uncertainty factor by capturing comovement in volatilities of major commodity markets through a group-specific Dynamic Factor Model. Then, by computing impulse response functions using a Structural VAR model, we find that an increase in the common commodity price...

Based on a panel of 53 advanced and emerging countries, we evaluate the contribution of both terms of trade level and volatility shocks in explaining business cycle fluctuations. By estimating with an SVAR-SV model with the stochastic volatility built in the mean equation, we find the level...

We investigate the connections between some specific commodity prices and global macroeconomic performance in a two-stage approach. At the first stage we employ machine learning techniques to identify from a large set of globally traded commodities the ones with the strongest predictive power on...

The shape of the futures term structure is essential to commodity hedgers and speculators as futures prices serve as a forecast of future spot prices. Commodity markets quotes futures prices on a selection of maturities and delivery periods. In this note, we investigate a Bayesian technique...