Global Commodity Markets - Price Volatility and Financialisation
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.
Volume (Year): (2011)
Issue (Month): (June)
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- Peter C. B. Phillips & Jun Yu, 2011.
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Econometric Society, vol. 2(3), pages 455-491, November.
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- 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.
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11/1, International Monetary Fund.
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