Abstract
This paper investigates the applicability of reduced form commodity price models at the individual commodity level. Studied are cocoa, coffee, cotton, lead, rubber, silver, sugar, tin and zinc prices. Of particular significance is the role played by monetary and economic influences in commodity price adjustments. Interest rates, exchange rates and liquidity have been recently cited as important in this regard. Empirical results based on econometric price equations confirm their importance.
Thanks are due to Mailika Theeravanilia and Duangjai Intarapravich for their help with the data.
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Labys, W.C., Thomas, H.C., Gijsbers, D.J. (1989). Monetary and Economic Influences in Econometric Models of International Commodity Price Behaviour. In: Guimarães, R.M.C., Kingsman, B.G., Taylor, S.J. (eds) A Reappraisal of the Efficiency of Financial Markets. NATO ASI Series, vol 54. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-74741-0_40
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DOI: https://doi.org/10.1007/978-3-642-74741-0_40
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