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Modeling fluctuations in the global demand for commodities

Kilian, Lutz; Zhou, Xiaoqing - 2017

It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic...

Persistent link: https://www.econbiz.de/10011754229

Micro-geographic property price and rent indices

Ahlfeldt, Gabriel M.; Heblich, Stephan; Seidel, Tobias - 2021

We develop a programming algorithm that predicts a balanced-panel mix-adjusted house price index for arbitrary spatial …

Persistent link: https://www.econbiz.de/10012597680

Macro news and commodity returns

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015

This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen...

Persistent link: https://www.econbiz.de/10011346863

The interplay between oil and food commodity prices : has it changed over time?

Peersman, Gert; Rüth, Sebastian; Van der Veken, Wouter - 2019

Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply - resulting from bad...

Persistent link: https://www.econbiz.de/10012064355

Macroeconomic effects of disruptions in global food commodity markets : evidence for the United States

De Winne, Jasmien; Peersman, Gert - 2016

, we embed a novel quarterly composite global production index for the four basic staples (corn, wheat, rice and soybeans … turn out to be a multiple of the maximum impact implied by the share of food commodities in the consumer price index and …

Persistent link: https://www.econbiz.de/10011565633

Commodity price effects on currencies

Cheung, Yin-Wong; Wang, Wenhao - 2022

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...

Persistent link: https://www.econbiz.de/10013383435

A general theory of price and quantity aggregation and welfare measurement

Hillinger, Claude - 2002

maximization assumption. Two different derivations are given, one in continuous time, using Divisia integrals, and one employing …-homothetic case, these indexes are superior both to Fisher s ideal index and to the consumer surplus approximation. …

Persistent link: https://www.econbiz.de/10011514055

Measuring global real economic activity : do recent critiques hold up to scrutiny?

Kilian, Lutz - 2019

Hamilton (2018) suggests that the Kilian (2009) index of global real economic activity is misleading and calls for … alternative measures. The problem documented by Hamilton is a consequence of a coding mistake. Specifically, the index of nominal … freight rates underlying the Kilian index was accidentally logged twice. Once this coding error is corrected by removing one …

Persistent link: https://www.econbiz.de/10011958840

Cointegration of matched home purchases and rental price indexes : evidence from Sinpagore

Baltagi, Badi H.; Li, Jing - 2015

This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present...

Persistent link: https://www.econbiz.de/10011350189

New characteristics and hedonic price index numbers

Crawford, Ian; Neary, J. Peter - 2019

index numbers and demand for characteristics to develop a new method for incorporating changes on the extensive …

Persistent link: https://www.econbiz.de/10011977187