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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

EUROPEAN FINANCIAL SYSTEMS 2017: PROCEEDINGS OF THE 14TH INTERNATIONAL SCIENTIFIC CONFERENCE, PT 1

ISBN

9788021086098

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

484-491

Název nakladatele

MASARYKOVA UNIV, ZEROTINOVO NAM 9, BRNO 601 77, CZECH REPUBLIC

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

1. 1. 2017

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000418110700059