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The Macroeconomic Determinants of Commodity Prices

The Macroeconomic Determinants of Commodity Prices »

Source: The Macroeconomic Determinants of Commodity Prices

Volume/Issue: 1994/9

Series: IMF Working Papers

Author(s): Eduardo Borensztein , and Carmen Reinhart

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1994

ISBN: 9781451927221

Keywords: commodity prices, equation, statistics, random walk, forecasting

The “traditional structural approach” to the determination of real commodity prices has relied exclusively on demand factors as the fundamentals that explain the behavior of commodity prices. This fra...

Commodity Prices

Commodity Prices »

Source: Commodity Prices : Cyclical Weakness or Secular Decline?

Volume/Issue: 1994/7

Series: IMF Working Papers

Author(s): Peter Wickham , and Carmen Reinhart

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1994

ISBN: 9781451842371

Keywords: commodity prices, export earnings, hedging, terms of trade, commodity agreements

Primary commodities still account for the bulk of exports in many developing countries. However, real commodity prices have been declining almost continuously since the early 1980s and there is evidence of renewed...

Time Varying Risk Premia in Futures Markets

Time Varying Risk Premia in Futures Markets »

Source: Time Varying Risk Premia in Futures Markets

Volume/Issue: 1990/116

Series: IMF Working Papers

Author(s): Graciela Kaminsky , and Manmohan Kumar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1990

ISBN: 9781451941968

Keywords: futures markets, equation, commodity futures, forecasting, futures prices

This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures p...

Commodities and the Market Price of Risk

Commodities and the Market Price of Risk »

Source: Commodities and the Market Price of Risk

Volume/Issue: 2008/221

Series: IMF Working Papers

Author(s): Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2008

ISBN: 9781451870794

Keywords: Asset pricing, Futures pricing., commodity futures, investors, risk premium, hedge, risk exposure, futures pricing,

Commodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying ris...

Commodity Markets and the International Transmission of Fiscal Shocks

Commodity Markets and the International Transmission of Fiscal Shocks »

Source: Commodity Markets and the International Transmission of Fiscal Shocks

Volume/Issue: 1988/104

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 December 1988

ISBN: 9781451947724

Keywords: exchange rate, terms of trade, real exchange rate, commodity exporters, commodity prices

The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, inclu...

Global Financial Transmission into Sub-Saharan Africa – A Global Vector Autoregression Analysis

Global Financial Transmission into Sub-Saharan Africa – A Global Vector Autoregression Analysis »

Source: Global Financial Transmission into Sub-Saharan Africa - A Global Vector Autoregression Analysis

Volume/Issue: 2014/241

Series: IMF Working Papers

Author(s): Jorge Canales Kriljenko , Mehdi Hosseinkouchack , and Alexis Meyer-Cirkel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 December 2014

ISBN: 9781498305051

Keywords: GVAR, Financial Transmission, prices, output, commodity, equity, commodity prices, Models with Panel Data, Forecasting and Simulation, Forecasting and Simulation,

Sub-Saharan African countries are exposed to spillovers from global financial variables, but the impact on economic activity is more significant in more financially developed economies. Generalized impulse response...

The Relative Volatility of Commodity Prices

The Relative Volatility of Commodity Prices »

Source: The Relative Volatility of Commodity Prices : A Reappraisal

Volume/Issue: 2011/279

Series: IMF Working Papers

Author(s): Rabah Arezki , Daniel Lederman , and Hongyan Zhao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2011

ISBN: 9781463925963

Keywords: International Commodity Prices, Volatility, Manufactured Product Prices., commodity prices, foreign trade, standard deviations, international trade, standard deviation, Country and Industry Studies of Trade, Manufactured Product Prices,

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011. The conventional wis...

Unconventional Monetary Policy and Asset Price Risk

Unconventional Monetary Policy and Asset Price Risk »

Source: Unconventional Monetary Policy and Asset Price Risk

Volume/Issue: 2013/190

Series: IMF Working Papers

Author(s): Shaun Roache , and Marina Rousset

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 August 2013

ISBN: 9781484383230

Keywords: Futures Pricing, Event Studies, futures contract, futures price, futures prices, risk-free interest rate, commodity futures contract,

We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a...

What Explains the Rise in Food Price Volatility?

What Explains the Rise in Food Price Volatility? »

Source: What Explains the Rise in Food Price Volatility?

Volume/Issue: 2010/129

Series: IMF Working Papers

Author(s): Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2010

ISBN: 9781455201129

Keywords: Volatility, Agricultural Economics, food price, commodity prices, palm oil, futures markets, open interest, General Financial Markets,

The macroeconomic effects of large food price swings can be broad and far-reaching, including the balance of payments of importers and exporters, budgets, inflation, and poverty. For market participants and policym...

Econometric Analysis of Industrial Country Commodity Exports

Econometric Analysis of Industrial Country Commodity Exports »

Source: Econometric Analysis of Industrial Country Commodity Exports

Volume/Issue: 1992/4

Series: IMF Working Papers

Author(s): Manmohan Kumar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1992

ISBN: 9781451841954

Keywords: commodity exports, world exports, merchandise exports, total exports, export price, Econometric Analysis,

This paper examines the composition of primary commodity exports by industrial countries and contrasts this composition with that of the exports by developing countries. Both the share of industrial countries&#x201...