Data/hora: 11/06/2024 07:32:28

Provedor de dados: 	31	
País: 	United States	
Título: 	What Explains High Commodity Price Volatility? Estimating a Unified Model of Common and Commodity-Specific, High- and Low-Frequency Factors	
Autores: 	Karali,   Berna; Power,   Gabriel J.	
Data: 	2009-05-04	
Ano: 	2009	
Palavras-chave: 	Volatility; Spline-GARCH; Futures markets; Agricultural Finance; Demand and Price Analysis.	
Resumo: 	We estimate a model of common and commodity-specific, high- and low-frequency factors, built on the spline-GARCH model of Engle and Rangel (2008) to explain the period of exceptionally high price volatility in commodity markets during 2006-2008. We find that decomposing realized volatility into high- and low-frequency components reveals the impact of slowly-evolving macroeconomic variables on the price volatility. Further, we find that while macroeconomic variables have similar effects within the same commodity category (e.g., storable agricultural), they have different effects across commodity groups (e.g., live stock versus energy).	
Tipo: 	Conference Paper or Presentation	
Idioma: 	Inglês	
Identificador: 	http://purl.umn.edu/49576	
Relação: 	Agricultural and Applied Economics Association&gt;2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin

Selected   Paper

612803	
Formato: 	24