The Origins of Commodity Price Fluctuations

Evgenia Passari
Additional contact information
Evgenia Passari: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

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.

Keywords: Commodities; textual analysis; news; demand; supply; business cycles; geopolitical risk; natural disasters; climate change (search for similar items in EconPapers)
Date: 2023-07
References: Add references at CitEc
Citations:

Published in Society for Economic Dynamics (SED) Annual Meeting 2023, Jul 2023, Cartagena, Colombia

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-04717136

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().