The Origins of Commodity Price Fluctuations - Archive ouverte HAL
Communication Dans Un Congrès Année : 2023

The Origins of Commodity Price Fluctuations

Résumé

We build novel indexes of commodity-price developments by simulating news reading. Our proposed computer-based, narrative approach is flexible and spans all commodity markets, including energy, metals, agricultural and livestock. Empirical evidence indicates that our indexes successfully distinguish between supply and demand. Index-peaks track the post-crisis collapse of commodity markets,market-specific developments, and the recent COVID-19 crisis. The richness of news content allows to further identify key drivers that shape commodity markets, including business cycle effects, geopolitical risk, natural disasters, and climate change. Results indicate that the nature of commodity price movements matters for macroeconomic outcomes, firms’ decisions, and asset prices.
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Dates et versions

hal-04717136 , version 1 (01-10-2024)

Identifiants

  • HAL Id : hal-04717136 , version 1

Citer

Evgenia Passari. The Origins of Commodity Price Fluctuations. Society for Economic Dynamics (SED) Annual Meeting 2023, Jul 2023, Cartagena, Colombia. ⟨hal-04717136⟩
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