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Global Commodity Markets - Price Volatility and Financialisation

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Author Info

  • Alexandra Dwyer

    (Reserve Bank of Australia)

  • George Gardner

    (Reserve Bank of Australia)

  • Thomas Williams

    (Reserve Bank of Australia)

Registered author(s):

    Abstract

    A significant increase in the level and volatility of many commodity prices over the past decade has led to a debate about what has driven these developments. A particular focus has been on the extent to which they have been driven by increased financial investment in commodity derivatives markets. This article examines the factors behind the increase in the level and volatility of commodity prices. The available evidence suggests that while financial investors can affect the short-run price dynamics for some commodities, the level and volatility of commodity prices appear to be primarily determined by fundamental factors.

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    File URL: http://www.rba.gov.au/publications/bulletin/2011/jun/pdf/bu-0611-7.pdf
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    Bibliographic Info

    Article provided by Reserve Bank of Australia in its journal RBA Bulletin.

    Volume (Year): (2011)
    Issue (Month): (June)
    Pages: 49-58

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    Handle: RePEc:rba:rbabul:jun2011-07

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    Related research

    Keywords: Commodity; Commodities; Commodity prices; Commodity price; volatility; Speculation; Oil prices; Financialisation; Financialization; G-20; G20; CRB; Derivatives;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Peter C. B. Phillips & Jun Yu, 2009. "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Working Papers 18-2009, Singapore Management University, School of Economics.
    2. Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
    3. Paul Cashin & C. John McDermott, 2001. "The Long-Run Behavior of Commodity Prices: Small Trends and Big Variability," IMF Working Papers 01/68, International Monetary Fund.
    4. Tahsin Saadi Sedik & Serhan Cevik, 2011. "A Barrel of Oil or a Bottle of Wine: How Do Global Growth Dynamics Affect Commodity Prices?," IMF Working Papers 11/1, International Monetary Fund.
    5. Vanessa Rayner & Emily Laing & Jamie Hall, 2011. "Developments in Global Food Prices," RBA Bulletin, Reserve Bank of Australia, pages 15-22, March.
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    Cited by:
    1. Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, vol. 41(C), pages 1-18.
    2. Mohamed El Hedi Arouri & Shawkat Hammoudeh & Duc Khuong Nguyen & Amine Lahiani, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Working Papers hal-00798036, HAL.
    3. Creti, Anna & Joëts, Marc & Mignon, Valérie, 2013. "On the links between stock and commodity markets' volatility," Energy Economics, Elsevier, vol. 37(C), pages 16-28.
    4. Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2014. "How does bad and good volatility spill over across petroleum markets?," Papers 1405.2445, arXiv.org.

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