How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index

Kamil Smolík, Michal Karas and Oldřich Rejnuš
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Kamil Smolík: Department of Economics, Brno University of Technology, Kolejní 4, 612 00 Brno, Czech Republic
Michal Karas: Department of Finances, Brno University of Technology, Kolejní 4, 612 00 Brno, Czech Republic
Oldřich Rejnuš: Department of Economics, Brno University of Technology, Kolejní 4, 612 00 Brno, Czech Republic

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2014, vol. 62, issue 6, 1417-1425

Abstract: In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. In this article, the importance of chosen macroeconomic determinants to the price variability of one of the most important commodity indexes S & P GSCI by using the Boosted Trees method is quantified. The results obtained in the research show that changes in the monthly values of macroeconomic determinants reflect and can, according to the model used, explain the volatility of the monthly average index S & P GSCI Total Return to more than 75%. The most important macroeconomic determinants proved to be Nominal Effective Exchange Rate of USD or US - Short-term interest rates.

Keywords: Commodity index S & P GSCI; financialization; macroeconomic determinants (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:actaun_2014062061417

DOI: 10.11118/actaun201462061417

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