The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.
Commodity prices, interest rates and the dollar
Abstract
This paper sheds light on recent fluctuations in commodity prices. We investigate whether a decline in real interest rates and the US dollar contributes to higher commodity prices, and whether commodity prices display overshooting behavior in response to changes in real interest rates. We analyze the behavior of real prices of crude oil, food, metals and industrial raw materials. The analysis is based on structural VAR models estimated on quarterly data over the period 1990q1-2007q4. Our results suggest that commodity prices increase significantly in response to reductions in real interest rates. Moreover, oil prices and prices of industrial raw materials tend to display overshooting behavior in response to such interest rate changes. The evidence also suggests that a weaker dollar leads to higher commodity prices. Shocks to interest rates and the dollar are found to account for substantial shares of fluctuations in commodity prices.
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Cites
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Expectations and Exchange Rate Dynamics
Dornbusch, R. (1976) · Journal of Political Economy · doi:10.1086/260506 · Cited by 4,665
Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
Kilian, L. (2009) · American Economic Review · doi:10.1257/aer.99.3.1053 · Cited by 4,608
The Economics of Exhaustible Resources
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Oil and the Macroeconomy since World War II
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Inference in Linear Time Series Models with some Unit Roots
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Monetary policy rules in practice
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The Bootstrap and Edgeworth Expansion
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The Bootstrap and Edgeworth Expansion.
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Cited by
The Role of Speculation in Oil Markets: What Have We Learned So Far?
Fattouh, B., Kilian, L., & Mahadeva, L. (2013) · The Energy Journal · doi:10.5547/01956574.34.3.2 · Cited by 491
Geopolitical risk and dynamic connectedness between commodity markets
Gong, X., & Xu, J. (2022) · Energy Economics · doi:10.1016/j.eneco.2022.106028 · Cited by 354
The Great Plunge in Oil Prices: Causes, Consequences, and Policy Responses
Baffes, J., Kose, M. A., Ohnsorge, F., & Stocker, M. (2015) · SSRN Electronic Journal · doi:10.2139/ssrn.2624398 · Cited by 266
Metadata
- Authors
- Akram, Q. F.
- Venue
- Energy Economics
- Publisher
- Elsevier BV
- Published
- 2009-11
- Volume
- 31
- Issue
- 6
- Pages
- 838-851
- ISSN
- 0140-9883 (ISSN-L)
- OpenAlex
- W2128156079
- Cited by
- 542
- References
- 23
- FWCI
- 39.20
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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