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Commodity Prices in Empirical Research

In: Recent Econometric Techniques for Macroeconomic and Financial Data

Author

Listed:
  • Jean-François Carpantier

    (Aix-Marseille School of Economics)

Abstract

Commodity prices are key ingredients in many economic theories. We pick three of them (Prebisch–Singer hypothesis, commodity currencies, financialization of commodity markets) and give a critical view on the empirical challenges faced by practitioners, including measurement inconsistencies, endogeneity concerns, time series properties, and empirical design.

Suggested Citation

  • Jean-François Carpantier, 2021. "Commodity Prices in Empirical Research," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 199-227, Springer.
    • Handle: RePEc:spr:dymchp:978-3-030-54252-8_8
    DOI: 10.1007/978-3-030-54252-8_8
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    Cited by:

    1. Bodart, Vincent & Carpantier, Jean-François, 2023. "Currency crises in emerging countries: The commodity factor," Journal of Commodity Markets, Elsevier, vol. 30(C).
    2. Kyei, Collins Baffour & Cantah, William Godfred & Junior Owusu, Peterson, 2023. "Effect of commodity prices on financial soundness; insight from adaptive market hypothesis in the Ghanaian setting," Resources Policy, Elsevier, vol. 86(PA).
    3. Yıldırım, Durmuş Çağrı & Erdoğan, Fatma & Tarı, Elif Nur, 2022. "Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies," Resources Policy, Elsevier, vol. 76(C).
    4. Carpantier, Jean-François, 2021. "Anything but gold - The golden constant revisited," Journal of Commodity Markets, Elsevier, vol. 24(C).

    More about this item

    JEL classification:

    • O1 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development
    • F3 - International Economics - - International Finance

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