The Origins of Commodity Price Fluctuations

Evgenia Passari

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Abstract: We build novel indexes of commodity-price developments by simulating news reading. Our proposed computer-based, narrative approach is flexible and spans all commodity markets, including energy, metals, agricultural and livestock. Empirical evidence indicates that our indexes successfully distinguish between supply and demand. Index-peaks track the post-crisis collapse of commodity markets, market-specific developments, and the recent COVID-19 crisis. The richness of news content allows to further identify key drivers that shape commodity markets, including business cycle effects, geopolitical risk, natural disasters, and climate change. Results indicate that the nature of commodity price movements matters for macroeconomic outcomes, firms' decisions, and asset prices.

Date: 2023-06
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Published in SRC (Systemic Risk Centre) Research Seminar, London School of Economics and Political Science (LSE), Jun 2023, Londres, United Kingdom

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Related works:
Working Paper: The Origins of Commodity Price Fluctuations (2024)
Working Paper: The Origins of Commodity Price Fluctuations (2024)
Working Paper: The Origins of Commodity Price Fluctuations (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04716190

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