Acta Univ. Agric. Silvic. Mendelianae Brun. 2014, 62, 1417-1425

https://doi.org/10.11118/actaun201462061417
Published online 2015-01-17

How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index

Kamil Smolík1, Michal Karas2, Oldřich Rejnuš1

1Department of Economics, Brno University of Technology, Kolejní 4, 612 00 Brno, Czech Republic
2Department of Finances, Brno University of Technology, Kolejní 4, 612 00 Brno, Czech Republic

In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. In this article, the importance of chosen macroeconomic determinants to the price variability of one of the most important commodity indexes S & P GSCI by using the Boosted Trees method is quantified. The results obtained in the research show that changes in the monthly values of macroeconomic determinants reflect and can, according to the model used, explain the volatility of the monthly average index S & P GSCI Total Return to more than 75%. The most important macroeconomic determinants proved to be Nominal Effective Exchange Rate of USD or US – Short-term interest rates.

Funding

This paper was supported by grant FP-S-13-2052 ‘Microeconomic and macroeconomic principles and their impact on the behavior of companies’ from the Internal Grant Agency at Brno University of Technology.

References

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