Commodity price predictability: commodity currencies or global risk factor

In this paper, I argue that global factors also have a role in forecasting commodity prices. That is, both global factors and the exchange rates of small commodity exporters have predictive power over global commodity prices. I show that part of the information embedded in these countries' exch...

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Detalles Bibliográficos
Autor principal: Kiguel, Andrea
Formato: Tesis de maestría
Lenguaje:Inglés
Publicado: Universidad Torcuato Di Tella 2017
Materias:
Currency question
Economía
Tesis
Acceso en línea:https://repositorio.utdt.edu/handle/20.500.13098/2009
Aporte de:
Repositorio Digital Universidad Torcuato Di Tella de Universidad Torcuato Di Tella
id I57-R163-20.500.13098-2009
record_format dspace
spelling I57-R163-20.500.13098-20092025-08-01T17:28:57Z Commodity price predictability: commodity currencies or global risk factor Kiguel, Andrea Currency question Economía Tesis In this paper, I argue that global factors also have a role in forecasting commodity prices. That is, both global factors and the exchange rates of small commodity exporters have predictive power over global commodity prices. I show that part of the information embedded in these countries' exchange rates is capturing a common risk factor relevant for forecasting. Given this result, I separate the predictability coming from changes in risk appetite versus 'true commodity views' in these commodity exporters' exchange rates to better understand the composition of risks. Using both aggregate indices and individual commodity prices, I study to what extent predictability in commodity price changes coming from a global factor and how much is due to commodity exporters' idiosyncratic information. Esta tesis en PDF no tiene permisos por parte del autor para ser reproducida. Puedes venir a consultarla a la Biblioteca Di Tella pero recuerda que no podrás copiarla, ni grabarla en ningún dispositivo, ni enviarla, ni imprimirla. La consulta se hace solo bajo reserva escribiendo a serviciosbiblio@utdt.edu. Si eres el autor de la tesis y quieres dar tu autorización para la reproducción, puedes ponerte en contacto con repositorio@utdt.edu. Universidad Torcuato Di Tella 2017-04-03T18:09:44Z 2017-04-03T18:09:44Z 2015 2015 info:eu-repo/semantics/masterThesis https://repositorio.utdt.edu/handle/20.500.13098/2009 eng info:eu-repo/semantics/restrictedAccess 20 p. application/pdf application/pdf
institution Universidad Torcuato Di Tella
institution_str I-57
repository_str R-163
collection Repositorio Digital Universidad Torcuato Di Tella
language Inglés
orig_language_str_mv eng
topic Currency question
Economía
Tesis
spellingShingle Currency question
Economía
Tesis
Kiguel, Andrea
Commodity price predictability: commodity currencies or global risk factor
topic_facet Currency question
Economía
Tesis
description In this paper, I argue that global factors also have a role in forecasting commodity prices. That is, both global factors and the exchange rates of small commodity exporters have predictive power over global commodity prices. I show that part of the information embedded in these countries' exchange rates is capturing a common risk factor relevant for forecasting. Given this result, I separate the predictability coming from changes in risk appetite versus 'true commodity views' in these commodity exporters' exchange rates to better understand the composition of risks. Using both aggregate indices and individual commodity prices, I study to what extent predictability in commodity price changes coming from a global factor and how much is due to commodity exporters' idiosyncratic information.
format Tesis de maestría
author Kiguel, Andrea
author_facet Kiguel, Andrea
author_sort Kiguel, Andrea
title Commodity price predictability: commodity currencies or global risk factor
title_short Commodity price predictability: commodity currencies or global risk factor
title_full Commodity price predictability: commodity currencies or global risk factor
title_fullStr Commodity price predictability: commodity currencies or global risk factor
title_full_unstemmed Commodity price predictability: commodity currencies or global risk factor
title_sort commodity price predictability: commodity currencies or global risk factor
publisher Universidad Torcuato Di Tella
publishDate 2017
url https://repositorio.utdt.edu/handle/20.500.13098/2009
work_keys_str_mv AT kiguelandrea commoditypricepredictabilitycommoditycurrenciesorglobalriskfactor
_version_ 1842217762595799040

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