LA_VC_SH_RMS_commodity_20200406.pdf (1.14 MB)
Global factors, uncertainty, weather conditions and energy prices: on the drivers of the duration of commodity price cycle phases
journal contributionposted on 2020-07-06, 10:44 authored by Luca Agnello, Vitor CastroVitor Castro, Shawkat Hammoudeh, Ricardo Sousa
We investigate the role of global factors in explaining the length of commodity price cycle phases, using a continuous-time Weibull duration model and data for a panel of 33 countries over the period 1980Q1-2015Q4. We find evidence of increasing (constant) positive duration dependence for commodity price booms and busts (normal time spells). Global macroeconomic conditions - in particular, inflation, economic policy uncertainty and monetary policy actions - significantly affect the duration of all commodity price cycle phases. Global environmental conditions also impact the duration of commodity price booms, with a rise in average temperature (rainfall) increasing (reducing) their length. A rise in the number of military conflicts around the globe is associated with shorter booms and busts. Finally, we find that a rise in oil prices is linked with longer booms and shorter busts.
NIPE's work is financed by the National Funds of the FCT – Portuguese Foundation for Science and Technology within the project "UID/ECO/03182/2019".
- Business and Economics
Published inEnergy Economics
- AM (Accepted Manuscript)
Rights holder© Elsevier B.V.
Publisher statementThis paper was accepted for publication in the journal Energy Economics and the definitive published version is available at https://doi.org/10.1016/j.eneco.2020.104862.