Makroekonomiczne determinanty stóp zwrotu na rynkach surowców w warunkach finansjalizacji

Adam Zaremba


Although financialization of commodity markets is a widely discussed topic in last few years, its implications for investors are not yet fully explored. This study focuses on the macroeconomic determinants of commodity returns in financialized and non-financialized markets. The paper contributes in four ways. First, it provides fresh evidence on the interdependences between commodity returns, inflation and business activity. Second, it documents increased correlation of the commodity returns with the business activity in the financialized markets. Third, it explores changes in the lead/ lag relationship of commodity prices and the business cycle. Fourth, it proves that the commodities retained their inflation hedging abilities in the financialized markets. The computations are based on listings of various commodity indices between 1970 and 2013.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Other language title versionsFinancialization and Macroeconomic Determinants of Commodity Returns
Journal seriesFINANSE Czasopismo Komitetu Nauk o Finansach PAN, ISSN 1899-4822, (B 12 pkt)
Issue year2014
No1 (7)
Publication size in sheets1.35
Keywords in Polishzarządzanie portfelem, surowce, kontrakty futures, zabezpieczenie przed inflacją, cykl koniunkturalny, finansjalizacja
Keywords in Englishcommodities, commodity futures, inflation hedging, macroeconomic determinants, business cycle, financialization
Languagepl polski
Score (nominal)12
Score sourcejournalList
ScoreMinisterial score = 4.0, 10-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 12.0, 10-12-2019, ArticleFromJournal
Citation count*1 (2020-09-10)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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