This paper studies the value of broad commodity price indexes as predictors of consumer price inflation in the G-7 industrial countries. After an introduction, the paper discusses the theoretical relationship between commodity and consumer prices and the conditions under which, in general, one...

In our study, we individually forecast 26 metal prices one-month ahead and outperform the predefined benchmark model, a random-walk (with drift) in 18 (18) cases. These forecasts are based on an overview over a large set of potential predictors for mineral commodities, originating from studies...

Using panel data 43 developing countries over the period 1980-2010, the paper examines the impact of the Commodity Terms of Trade (CTOT) Index on the real GDP per capita growth in developing countries. The study finds that for all countries in the sample, an increase in the CTOT index...

This paper uses annual data to study the interaction of consumer and commodity prices in 15 economies over the period 1850-1913. We find that consumer price inflation in all 15 countries co-moves with a broad measure of changes in commodity prices. Consumer prices comove most strongly with...

The aim of this study is to test the ability of the yield curve on US government bonds to forecast the future evolution in the prices of commodities often used in as raw materials. We consider the monthly prices of nine commodities for more than 30 years. Our findings, confirmed by several...

This paper reviews the more recent literature addressing different facets of speculation in commodity markets, including the role of speculators and the impact that financialization in recent years. While speculation and financialization can theoretically destabilize commodity markets, the...

This aim of this paper is to analyse possibilities and potential effects of soft commodity derivative market on the development of risk management practice within the CEE. Agricultural producers and other participants in the soft commodity market in CEE are lacking local commodity market. As a...

There is a considerable urgency in addressing the impact stemming from the production of certain agricultural commodities on ecosystems and local communities. Forest-risk commodities (FRCs) such as cocoa, coffee, palm oil, rubber, soy, maize and beef generate negative impacts on deforestation,...

This paper investigates the time-varying volatility patterns of some major commodities as well as the potential factors that drive their long-term volatility component. For this purpose, we make use of a recently proposed GARCH-MIDAS approach which typically allows us to examine the role of...

We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liquid market quotes. A parsimonious parametrization is introduced to deal with the limited number of options quoted in the...

Short-term forecasting is usually made in recent literature by modeling the spot price of commodities such as coffee and cattle with ARIMA models and in some articles including volatility models. Unlike such articles, herein the models of the spot price of coffee and cattle are estimated...

The paper reviews the debate about transparency in extractive industry commodities trade. It examines the obstacles to improved transparency. A critical review of the experience with estimating losses from a lack of transparency concludes that many of the published estimates of losses from...

A feature of modern globalization processes is their vulnerability to the volatility of short-term capital flows, which, combined with the growing volatility of commodity prices, have created serious difficulties for the economic policies of commodity-oriented countries. Therefore, the study of...

The global spread of the corona virus is a massive challenge for countries in the Global South. Beyond the health crisis, many countries face economic turmoil linked to their dependence on commodities. Commodity markets have reacted strongly to the COVID-19 crisis with drastic price movements...

The management of revenues from exhaustible natural resources involves a number of challenges. In this paper, we argue that the standard policy advice to managers of resource revenues has been dominated by short-termism and the lack of a perspective on economic development and structural...

Natural resources are often related to conflicts. The Dal B'o & Dal B'o (2011) theory states that income shocks affect capital- and labor-intensive sectors differently. Using sub-national cells covering the African continent for 1997-2010, I find that conflicts react differently to positive...

This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and...

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of Conditional Auto-Regressive Logit (CARL) models to...

In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures contracts. In this paper we focus on the natural gas market and...

This paper presents estimates of time-varying income elasticities of demand for energy and metal commodities. The analysis finds that the elasticities are close to unity, evaluated at world median per capita income levels. Furthermore, the estimates confirm that as income rises, demand growth...

The paper studies the return-volatility relationship in a range of commodities. We develop a commodity price model and show that the volatility of price changes can be positively or negatively related to demand shocks. An “inverse leverage effect” – the volatility is higher following...

Commodity is one of the most volatile markets and forecasting its volatility is an issue of paramount importance. We study the dynamics of the commodity markets volatility by employing fractional stochastic volatility and heterogeneous autoregressive (HAR) models. Based on a high-frequency...

We examine the commodity futures pricing role of active attention to weather, disease, geopolitical or economic threats or “hazard fear” as proxied by the volume of internet searches by 149 query terms. A long-short portfolio strategy that sorts the cross-section of commodity futures...

"The World Health Organization confirmed COVID-19 a pandemic on March 11, 2020, causing vast impact on international economy. The coronavirus pandemic has given rise to an unprecedented global health and economic crises. Apart from the toll of early deaths, economic activities have been stalled...