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| Algieri, Bernardina. |
| The present study aims to investigate the dynamics of primary commodity prices and the role of speculation over time. In particular the relationship between speculation and price volatility on the one side, and the linkage between excessive speculation and price volatility on the other side, is carefully examined with the scope to establish whether volatility drives speculation or speculation drives price volatility, or whether there are no linkages between the two variables. In order to identify the presence of any lead-lag relationships, two batteries of Granger causality tests are carried out for the period 1995-2012. The investigation complements a preliminary index analysis on speculation and excessive speculation in the commodity market. Unlike... |
| Tipo: Working Paper |
Palavras-chave: Price volatility; Excessive speculation; Granger analysis; Agricultural Finance; Financial Economics; Food Consumption/Nutrition/Food Safety. |
| Ano: 2012 |
URL: http://purl.umn.edu/124390 |
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| Algieri, Bernardina. |
| This paper shows how the Dutch Disease has affected the Russian economy since the start of the transition in the early 1990s. Four symptoms have been detected, namely: 1) a real exchange rate appreciation, 2) a temporary improved economic situation, 3) an output decline in the non-booming-sector, 4) an export reduction in the non-booming-sector. An extended version of the Balassa-Samuelson model has been implemented to test symptom 1. Our results suggest a positive long-run cointegration relationship between the real exchange rate and the oil price. A 7% real appreciation is caused by a 10% oil price shock. Moreover, a 10% increase in oil prices leads to a 2% GDP growth, while a 10% real appreciation is associated with a 2.1% output decline. The total... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Political Economy. |
| Ano: 2004 |
URL: http://purl.umn.edu/18721 |
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