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World prices and domestic food price spikes

Bakucs, Zoltán; Fertő, Imre - 2013

relationship between World agricultural commodity prices, World oil prices and Hungarian producer and consumer food prices. After …

Persistent link: https://www.econbiz.de/10010494538

Global commodity cycles and linkages a FAVAR approach

Lombardi, Marco J.; Osbat, Chiara; Schnatz, Bernd - 2010

In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...

Persistent link: https://www.econbiz.de/10011605216

Monetary Policy, Global Liquidity and Commodity Price Dynamics

Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2010

worldwide level of interest rates received in the recent debate about the world savings and liquidity glut as one of the main …

Persistent link: https://www.econbiz.de/10010269974

Monetary policy, global liquidity and commodity price dynamics

Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2010

worldwide level of interest rates received in the recent debate about the world savings and liquidity glut as one of the main …

Persistent link: https://www.econbiz.de/10010271369

Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - 2013

The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to...

Persistent link: https://www.econbiz.de/10010326493

Does the Iranian oil supply matter for the oil prices?

Farzanegan, Mohammad Reza - 2012

There is an increasing tension between the Iranian Government and the west on an increasingly likely European oil embargo and the Iranian threat to close the Strait of Hormuz. The main question is: What will happen to the international oil prices in the case of shocks in the flow of Iranian oil...

Persistent link: https://www.econbiz.de/10010294407

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Persistent link: https://www.econbiz.de/10010270503

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

Persistent link: https://www.econbiz.de/10010271375

Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses

Kühl, Michael - 2007

the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … of the global foreign exchange market to the extent that the second most important currency in the world with the highest … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …

Persistent link: https://www.econbiz.de/10010300150

The impact of monetary policy shocks on commodity prices

Anzuini, Alessio; Lombardi, Marco J.; Pagano, Patrizio - 2010

Global monetary conditions have often been cited as a driving factor of commodity prices. This paper investigates the empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The...

Persistent link: https://www.econbiz.de/10011605278