Inflation, Business Cycles, and Commodity Investing in Financialized Markets

Adam Zaremba

Abstract

Financialization of commodity markets has been a broadly discussed topic in recent years. However, its implications for commodity investors have not yet been fully explored. This paper concentrates on the macroeconomic determinants of commodity returns in financialized and non-financialized markets and on their role for a tactical asset allocation. The study aims to contribute to the academic literature in four ways. First, it provides fresh evidence on the interdependences between commodity returns, inflation and the 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, which are calculated by S&P-GSCI, JP Morgan, and Dow Jones-UBS, between 1970 and 2013.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesBusiness and Economics Research Journal, ISSN 1309-2448, e-ISSN 2619-9491, (B 10 pkt)
Issue year2015
Vol6
No1
Pages1-18
Publication size in sheets0.85
Keywords in Englishcommodities, inflation hedging, macroeconomic determinants, business cycle, financialization
URL http://www.berjournal.com/inflation-business-cycles-and-commodity-investing-in-financialized-markets
Languageen angielski
Score (nominal)10
Score sourcejournalList
ScoreMinisterial score = 0.0, 09-06-2020, ArticleFromJournal
Ministerial score (2013-2016) = 10.0, 09-06-2020, ArticleFromJournal
Citation count*6 (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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