A Study of the Impact of Crisis Events on Major Global Commodity Prices

Nazneen Fatima () and Krittika Banerjee ()
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Nazneen Fatima: IIT (ISM) Dhanbad
Krittika Banerjee: Indian Institute of Technology Kharagpur

Chapter Chapter 7 in Financial Markets and Corporate Finance, 2024, pp 119-148 from Springer

Abstract: Abstract Rise in commodity prices as well as price volatility trigger several effects on the macroeconomic state via inflation, supply shortages, uncertainty about real incomes, etc. Studies have shown that crisis-induced price shocks affect the supply chain as a result of changed production patterns. In this study, we analyze the impact of major economic crises since the 1990s on global commodity prices. The four major crises explored in this study are Asian Financial Crisis, Global Financial Crisis, Covid Crisis, and Ukraine-Russia War. We do a comparative study of energy, food, metal, and minerals prices between August 1992 and August 2022, and how these commodity groups behaved through these shocks. The paper shows how each crisis disturbs prices of the same commodity differently, while why some are not affected due to crisis. Factors like seasonality, negative news, and economic disruptions are accounted for. We compare between pre-and post-crisis periods for different time spans, e.g., 5 years, 3 years, and 6 months with monthly data. This gives an idea of how the impact changes over different time spans. Weekly data has been studied separately as a robustness check. Conditional volatility modeling helps to show how the long-term and short-term impacts percolate in the commodity markets. Results show that, in general, prices show fluctuations across the crises. Food, Metal, and Mineral prices soared due to the crises.

Keywords: Commodity prices; COVID-19; Financial crisis; Heteroskedasticity; Ukraine; Oil price (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-981-97-6242-2_7

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DOI: 10.1007/978-981-97-6242-2_7

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