Short- and long-run determinants of commodity price volatility

dc.contributor.author	Karali, B	en
dc.contributor.author	Power, GJ	en
dc.date.accessioned	2014-06-06T06:52:49Z
dc.date.available	2014-06-06T06:52:49Z
dc.date.issued	2013	en
dc.identifier.issn	00029092	en
dc.identifier.uri	http://dx.doi.org/10.1093/ajae/aas122	en
dc.identifier.uri	http://62.217.125.90/xmlui/handle/123456789/6193
dc.subject	Commodities	en
dc.subject	Futures markets	en
dc.subject	Macroeconomic indicators	en
dc.subject	Spline-GARCH	en
dc.subject	Volatility	en
dc.subject.other	commodity market	en
dc.subject.other	commodity price	en
dc.subject.other	econometrics	en
dc.subject.other	macroeconomics	en
dc.subject.other	numerical model	en
dc.subject.other	price determination	en
dc.subject.other	price dynamics	en
dc.subject.other	United States	en
dc.title	Short- and long-run determinants of commodity price volatility	en
heal.type	journalArticle	en
heal.identifier.primary	10.1093/ajae/aas122	en
heal.publicationDate	2013	en
heal.abstract	To explain price volatility in the U.S. agricultural, energy, and metal futures markets, we estimate a model of common and commodity-specific, high- and low-frequency factors by building on the spline-GARCH model of Engle and Rangel (2008).Abetter model fit results from allowing the unconditional variance to slowly change over time. Moreover, the persistence of volatility shocks is shown to be much weaker than what standard GARCH models imply. Combining the volatility results with monthly macroeconomic indicator data, we find that decomposing realized volatility into high- and low-frequency components better reveals the impact of slowly-evolving aggregate variables on price volatility. Moreover, over the period 1990-2005, most of the macroeconomic variables had similar effects within the same commodity category (e.g. grain), but their effects differed across commodity groups (e.g. grain versus livestock). Over the period 2006-2009, however, commodity-specific factors dominated common factors. © The Author (2013).	en
heal.journalName	American Journal of Agricultural Economics	en
dc.identifier.issue	3	en
dc.identifier.volume	95	en
dc.identifier.doi	10.1093/ajae/aas122	en
dc.identifier.spage	724	en
dc.identifier.epage	738	en