The changing relationship between commodity prices and equity prices in commodity exporting

Barbara Rossi

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: We explore the linkage between equity and commodity markets, focusing in particular on its evolution over time. We document that a country's equity market value has significant out-of-sample predictive ability for the future global commodity price index for several primary commodity-exporting countries. The out-of-sample predictive ability of the equity market appears around 2000s. The results are robust to using several control variables as well as firm-level equity data. Finally, our results indicate that exchange rates are a better predictor of commodity prices than equity markets, especially at very short horizons.

Keywords: Commodity prices; equity prices; exchange rates; forecasting. (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Date: 2012-10
New Economics Papers: this item is included in nep-for and nep-opm
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:1405

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