What drives agricultural commodities prices? Mixed-frequency analysis of the agricultural market drivers

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00113843" target="_blank" >RIV/00216224:14560/17:00113843 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
What drives agricultural commodities prices? Mixed-frequency analysis of the agricultural market drivers
Original language description
The importance of agricultural commodities markets is growing and their dynamics have changed substantially recently, especially in the period after the financial crisis of 2008. The aim of the paper is to explain agricultural commodities price movements by assessing an impact of multiple economic and financial factors. We study 6 agricultural commodities, 3 representatives of the grain market and 3 soft commodities, in a time span of 20 years ranging from 01/01/1997 to 31/12/2016. We identify 9 macroeconomic and financial drivers. The data are collected from Bloomberg. We use mixed-data-sampling methodology that enables us to study drivers of various frequencies (daily, weekly and monthly) simultaneously in a single linear model. We do not find a link between energy market and agricultural commodities markets suggested by previous papers and thus we conclude that the link is not linear. In addition, results show prevailing impact of the financial variables over the impact of the macroeconomic factors, which is in line with the hypothesis of the commodity market financialization. We also break down the studied period into two fractions divided by the 2008 crisis and we find that the financialization occurred after the crisis of 2008.
Czech name
—
Czech description
—

Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
EUROPEAN FINANCIAL SYSTEMS 2017: PROCEEDINGS OF THE 14TH INTERNATIONAL SCIENTIFIC CONFERENCE, PT 1
ISBN
9788021086098
ISSN
—
e-ISSN
—
Number of pages
8
Pages from-to
484-491
Publisher name
MASARYKOVA UNIV, ZEROTINOVO NAM 9, BRNO 601 77, CZECH REPUBLIC
Place of publication
Brno
Event location
Brno
Event date
Jan 1, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000418110700059

Similar results(10)