Interest rate dynamics and commodity prices

Dynamique des taux d'intérêt et prix des matières premières

Christophe Gouel (), Qingyin Ma and John Stachurski
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Christophe Gouel: CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique, UMR PSAE - Paris-Saclay Applied Economics - AgroParisTech - Université Paris-Saclay - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Qingyin Ma: CUEB - Capital University of Economics and Business
John Stachurski: ANU - Australian National University

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Abstract: In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the sign and magnitude of interest rate effects. Purely empirical studies struggle to address these issues because of the complex interactions between interest rates, prices, supply changes, and aggregate demand. To move this debate to a solid footing, we extend the competitive storage model to include stochastically evolving interest rates. We establish general conditions for existence and uniqueness of solutions and provide a systematic theoretical and quantitative analysis of the interactions between interest rates and prices.

Keywords: Commodity prices; Time-varying interest rate; Competitive storage; commodity prices time-varying interest rate competitive storage. JEL Classification: C62 C63 E43 E52 G12 Q02; commodity prices; time-varying interest rate; competitive storage. JEL Classification: C62; Prix des matières premières; Stockage; Taux d'intérêt (search for similar items in EconPapers)
Date: 2024-12
Note: View the original document on HAL open archive server: https://hal.inrae.fr/hal-04709125v1
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Published in Journal of Economic Theory, 2024, 222, pp.105915. ⟨10.1016/j.jet.2024.105915⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04709125

DOI: 10.1016/j.jet.2024.105915

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