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Global factors, uncertainty, weather conditions and energy prices: on the drivers of the duration of commodity price cycle phases

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journal contribution
posted on 06.07.2020, 10:44 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.

Funding

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".

History

School

  • Business and Economics

Department

  • Economics

Published in

Energy Economics

Volume

90

Publisher

Elsevier

Version

AM (Accepted Manuscript)

Rights holder

© Elsevier B.V.

Publisher statement

This 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.

Acceptance date

03/07/2020

Publication date

2020-07-18

Copyright date

2020

ISSN

0140-9883

Language

en

Depositor

Dr Vitor Castro. Deposit date: 6 July 2020

Article number

104862