The Origins of Commodity Price Fluctuations

Abstract

We build indexes of commodity-price developments by simulating news reading. Our proposed computer-based, narrative approach is flexible and spans all commodity markets, including energy, metals, agricultural and livestock. Empirical evidence indicates that our indexes successfully distinguish between supply and demand. Index-peaks track the post-crisis collapse of commodity markets, market-specific developments, and the recent Covid-19 crisis. The richness of news content allows to further identify key drivers that shape commodity markets, including business cycle effects, geopolitical risk, natural disasters, and climate change. Results indicate that the nature of commodity price movements matters for macroeconomic outcomes, firms’ decisions, and asset prices.

Speaker: Evgenia Passari, Associate Professor of Finance at Université Paris Dauphine - PSL and CEPR Research Affiliate

Location: online or at Kiel Institute for the World Economy, Chausseestraße 111, 10115 Berlin

Organizers: Kiel Institute for the World Economy, CEPR

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