Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model

Autores
Cornejo Tonnelier, Magdalena; Ahumada, Hildegart Alicia
Año de publicación
2015
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
This paper analyzes idiosyncratic and common determinants of commodity prices by adopting a time series-cross section approach. Different from the previous empirical literature, we allow for long-run and short-run effects, testing for cointegration and accounting for cross-dependence among different commodities. An automatic model selection algorithm is used to obtain a dominant congruent econometric model, selecting among many potential explanatory variables. As the effects of commodity prices? determinantsmay vary over time and across commodities and we are estimating single conditional models, poolability and exogeneity issues are also evaluated. Our
results indicate that commodity price formation in the long run is determined by supply and demand factors, apart from the US exchange rate. We find significant effects of individual commodity production and the demand-pull of China?s economy. The economic growth of both emerging and developed countries as well as the dollar?s depreciation, inventory changes, and easier monetary policies also have significant short-run effects on real commodity prices.
Fil: Cornejo Tonnelier, Magdalena. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Torcuato di Tella; Argentina
Fil: Ahumada, Hildegart Alicia. Universidad Torcuato di Tella; Argentina
Materia
Commodity Prices
Time Series-Cross Section
Cointegration
Automatic Selection
Nivel de accesibilidad
acceso abierto
Condiciones de uso
Atribución-NoComercial-CompartirIgual 2.5 Argentina (CC BY-NC-SA 2.5 AR)
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/41500
Acceder
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network_name_str CONICET Digital (CONICET)
spelling Explaining Commodity Prices by a Cointegrated Time Series-Cross Section ModelCornejo Tonnelier, MagdalenaAhumada, Hildegart AliciaCommodity PricesTime Series-Cross SectionCointegrationAutomatic Selectionhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5This paper analyzes idiosyncratic and common determinants of commodity prices by adopting a time series-cross section approach. Different from the previous empirical literature, we allow for long-run and short-run effects, testing for cointegration and accounting for cross-dependence among different commodities. An automatic model selection algorithm is used to obtain a dominant congruent econometric model, selecting among many potential explanatory variables. As the effects of commodity prices? determinantsmay vary over time and across commodities and we are estimating single conditional models, poolability and exogeneity issues are also evaluated. Our<br />results indicate that commodity price formation in the long run is determined by supply and demand factors, apart from the US exchange rate. We find significant effects of individual commodity production and the demand-pull of China?s economy. The economic growth of both emerging and developed countries as well as the dollar?s depreciation, inventory changes, and easier monetary policies also have significant short-run effects on real commodity prices.Fil: Cornejo Tonnelier, Magdalena. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Torcuato di Tella; ArgentinaFil: Ahumada, Hildegart Alicia. Universidad Torcuato di Tella; ArgentinaPhysica-Verlag2015-06info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/41500Cornejo Tonnelier, Magdalena; Ahumada, Hildegart Alicia; Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model; Physica-Verlag; Empirical Economics; 48; 4; 6-2015; 1667-16900377-7332CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1007/s00181-014-0827-5info:eu-repo/semantics/altIdentifier/url/https://link.springer.com/article/10.1007%2Fs00181-014-0827-5info:eu-repo/semantics/openAccessAtribución-NoComercial-CompartirIgual 2.5 Argentina (CC BY-NC-SA 2.5 AR)https://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-10-15T15:36:18Zoai:ri.conicet.gov.ar:11336/41500instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-10-15 15:36:18.9CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model
title Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model
spellingShingle Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model
Cornejo Tonnelier, Magdalena
Commodity Prices
Time Series-Cross Section
Cointegration
Automatic Selection
title_short Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model
title_full Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model
title_fullStr Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model
title_full_unstemmed Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model
title_sort Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model
dc.creator.none.fl_str_mv Cornejo Tonnelier, Magdalena
Ahumada, Hildegart Alicia
author Cornejo Tonnelier, Magdalena
author_facet Cornejo Tonnelier, Magdalena
Ahumada, Hildegart Alicia
author_role author
author2 Ahumada, Hildegart Alicia
author2_role author
dc.subject.none.fl_str_mv Commodity Prices
Time Series-Cross Section
Cointegration
Automatic Selection
topic Commodity Prices
Time Series-Cross Section
Cointegration
Automatic Selection
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv This paper analyzes idiosyncratic and common determinants of commodity prices by adopting a time series-cross section approach. Different from the previous empirical literature, we allow for long-run and short-run effects, testing for cointegration and accounting for cross-dependence among different commodities. An automatic model selection algorithm is used to obtain a dominant congruent econometric model, selecting among many potential explanatory variables. As the effects of commodity prices? determinantsmay vary over time and across commodities and we are estimating single conditional models, poolability and exogeneity issues are also evaluated. Our<br />results indicate that commodity price formation in the long run is determined by supply and demand factors, apart from the US exchange rate. We find significant effects of individual commodity production and the demand-pull of China?s economy. The economic growth of both emerging and developed countries as well as the dollar?s depreciation, inventory changes, and easier monetary policies also have significant short-run effects on real commodity prices.
Fil: Cornejo Tonnelier, Magdalena. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Torcuato di Tella; Argentina
Fil: Ahumada, Hildegart Alicia. Universidad Torcuato di Tella; Argentina
description This paper analyzes idiosyncratic and common determinants of commodity prices by adopting a time series-cross section approach. Different from the previous empirical literature, we allow for long-run and short-run effects, testing for cointegration and accounting for cross-dependence among different commodities. An automatic model selection algorithm is used to obtain a dominant congruent econometric model, selecting among many potential explanatory variables. As the effects of commodity prices? determinantsmay vary over time and across commodities and we are estimating single conditional models, poolability and exogeneity issues are also evaluated. Our<br />results indicate that commodity price formation in the long run is determined by supply and demand factors, apart from the US exchange rate. We find significant effects of individual commodity production and the demand-pull of China?s economy. The economic growth of both emerging and developed countries as well as the dollar?s depreciation, inventory changes, and easier monetary policies also have significant short-run effects on real commodity prices.
publishDate 2015
dc.date.none.fl_str_mv 2015-06
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/41500
Cornejo Tonnelier, Magdalena; Ahumada, Hildegart Alicia; Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model; Physica-Verlag; Empirical Economics; 48; 4; 6-2015; 1667-1690
0377-7332
CONICET Digital
CONICET
url http://hdl.handle.net/11336/41500
identifier_str_mv Cornejo Tonnelier, Magdalena; Ahumada, Hildegart Alicia; Explaining Commodity Prices by a Cointegrated Time Series-Cross Section Model; Physica-Verlag; Empirical Economics; 48; 4; 6-2015; 1667-1690
0377-7332
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1007/s00181-014-0827-5
info:eu-repo/semantics/altIdentifier/url/https://link.springer.com/article/10.1007%2Fs00181-014-0827-5
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
Atribución-NoComercial-CompartirIgual 2.5 Argentina (CC BY-NC-SA 2.5 AR)
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv Atribución-NoComercial-CompartirIgual 2.5 Argentina (CC BY-NC-SA 2.5 AR)
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Physica-Verlag
publisher.none.fl_str_mv Physica-Verlag
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.22299

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