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Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases

Luca Agnello, Vitor Castro (), Shawkat Hammoudeh and Ricardo Sousa ()

Energy Economics, 2020, vol. 90, issue C

Abstract: We investigate the role of global factors in explaining the length of commodity price cycle phases, using a continuous-time Weibull duration model and data for a panel of 33 countries over the period 1980Q1–2015Q4. We find evidence of increasing (constant) positive duration dependence for commodity price booms and busts (normal time spells). Global macroeconomic conditions - in particular, inflation, economic policy uncertainty and monetary policy actions - significantly affect the duration of all commodity price cycle phases. Global environmental conditions also impact the duration of commodity price booms, with a rise in average temperature (rainfall) increasing (reducing) their lengths. A larger number of military conflicts around the globe is associated with shorter booms and busts. Finally, we find that higher oil prices are linked with longer booms and shorter busts.

Keywords: Commodity price cycles; Continuous-time Weibull model; Global factors (search for similar items in EconPapers)
JEL-codes: C41 Q02 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.eneco.2020.104862

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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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