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Global Commodity Markets - Price Volatility and Financialisation

Author

Listed:
  • Alexandra Dwyer

    (Reserve Bank of Australia)

  • George Gardner

    (Reserve Bank of Australia)

  • Thomas Williams

    (Reserve Bank of Australia)

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.

Suggested Citation

  • Alexandra Dwyer & George Gardner & Thomas Williams, 2011. "Global Commodity Markets - Price Volatility and Financialisation," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 49-58, June.
    • Handle: RePEc:rba:rbabul:jun2011-07
    as

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    File URL: https://www.rba.gov.au/publications/bulletin/2011/jun/pdf/bu-0611-7.pdf
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    References listed on IDEAS

    as
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    2. Grilli, Enzo R & Yang, Maw Cheng, 1988. "Primary Commodity Prices, Manufactured Goods Prices, and the Terms of Trade of Developing Countries: What the Long Run Shows," The World Bank Economic Review, World Bank Group, vol. 2(1), pages 1-47, January.
    3. Peter C. B. Phillips & Jun Yu, 2011. "Dating the timeline of financial bubbles during the subprime crisis," Quantitative Economics, Econometric Society, vol. 2(3), pages 455-491, November.
    4. Cevik, Serhan & Saadi Sedik, Tahsin, 2014. "A Barrel of Oil or a Bottle of Wine: How Do Global Growth Dynamics Affect Commodity Prices?," Journal of Wine Economics, Cambridge University Press, vol. 9(1), pages 34-50, May.
    5. Vanessa Rayner & Emily Laing & Jamie Hall, 2011. "Developments in Global Food Prices," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 15-22, March.
    6. Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Commodity; Commodities; Commodity prices; Commodity price; volatility; Speculation; Oil prices; Financialisation; Financialization; G-20; G20; CRB; Derivatives;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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