Commodity price perdictability: 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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Autor principal: Kiguel, Andrea
Otros Autores: Universidad Torcuato Di Tella
Formato: Tesis de maestría acceptedVersion
Lenguaje:Inglés
Publicado: Universidad Torcuato Di Tella 2017
Materias:
Currency question
Economía
Tesis
Acceso en línea:http://repositorio.utdt.edu/handle/utdt/2009
Aporte de:
Repositorio Digital Universidad Torcuato Di Tella de Universidad Torcuato Di Tella
id I57-R16320.500.13098-2009
record_format dspace
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 perdictability: commodity currencies or global risk factor
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.
author2 Universidad Torcuato Di Tella
author_facet Universidad Torcuato Di Tella
Kiguel, Andrea
format Tesis de maestría
acceptedVersion
author Kiguel, Andrea
author_sort Kiguel, Andrea
title Commodity price perdictability: commodity currencies or global risk factor
title_short Commodity price perdictability: commodity currencies or global risk factor
title_full Commodity price perdictability: commodity currencies or global risk factor
title_fullStr Commodity price perdictability: commodity currencies or global risk factor
title_full_unstemmed Commodity price perdictability: commodity currencies or global risk factor
title_sort commodity price perdictability: commodity currencies or global risk factor
publisher Universidad Torcuato Di Tella
publishDate 2017
url http://repositorio.utdt.edu/handle/utdt/2009
work_keys_str_mv AT kiguelandrea commoditypriceperdictabilitycommoditycurrenciesorglobalriskfactor
bdutipo_str Repositorios
_version_ 1764820542841421824

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