EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988320302024
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320302024

DOI: 10.1016/j.eneco.2020.104862

Access Statistics for this article

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

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-09-08
Handle: RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320302024