Makroekonomiczne determinanty stóp zwrotu na rynkach surowców w warunkach finansjalizacji
AbstractAlthough 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.
|Other language title versions||Financialization and Macroeconomic Determinants of Commodity Returns|
|Journal series||FINANSE Czasopismo Komitetu Nauk o Finansach PAN, ISSN 1899-4822, (B 12 pkt)|
|Publication size in sheets||1.35|
|Keywords in Polish||zarządzanie portfelem, surowce, kontrakty futures, zabezpieczenie przed inflacją, cykl koniunkturalny, finansjalizacja|
|Keywords in English||commodities, commodity futures, inflation hedging, macroeconomic determinants, business cycle, financialization|
|Score|| = 4.0, 10-12-2019, ArticleFromJournal|
= 12.0, 10-12-2019, ArticleFromJournal
|Citation count*||1 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.