Publication detail

How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index

SMOLÍK, K. KARAS, M. REJNUŠ, O.

Original Title

How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index

English Title

How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index

Type

journal article - other

Language

Czech

Original Abstract

In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. In this article, the importance of chosen macroeconomic determinants to the price variability of one of the most important commodity indexes S & P GSCI by using the Boosted Trees method is quantified. The results obtained in the research show that changes in the monthly values of macroeconomic determinants reflect and can, according to the model used, explain the volatility of the monthly average index S & P GSCI Total Return to more than 75%. The most important macroeconomic determinants proved to be Nominal Eff ective Exchange Rate. of USD or US – Short-term interest rates.

English abstract

In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. In this article, the importance of chosen macroeconomic determinants to the price variability of one of the most important commodity indexes S & P GSCI by using the Boosted Trees method is quantified. The results obtained in the research show that changes in the monthly values of macroeconomic determinants reflect and can, according to the model used, explain the volatility of the monthly average index S & P GSCI Total Return to more than 75%. The most important macroeconomic determinants proved to be Nominal Eff ective Exchange Rate.

Keywords

Commodity index S & P GSCI, financialization, macroeconomic determinants.

Key words in English

Commodity index S & P GSCI, financialization, macroeconomic determinants.

Authors

SMOLÍK, K.; KARAS, M.; REJNUŠ, O.

RIV year

2014

Released

31. 12. 2014

Publisher

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

Location

Brno

ISBN

1211-8516

Periodical

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

Year of study

62

Number

6

State

Czech Republic

Pages from

1417

Pages to

1425

Pages count

9

BibTex

@article{BUT112334,
  author="Kamil {Smolík} and Michal {Karas} and Oldřich {Rejnuš}",
  title="How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index",
  journal="Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis",
  year="2014",
  volume="62",
  number="6",
  pages="1417--1425",
  issn="1211-8516"
}