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Author: Philipp Heilmann
Publisher: GRIN Verlag
ISBN: 3656153574
Category : Business & Economics
Languages : en
Pages : 35
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Book Description
Seminar paper from the year 2011 in the subject Economics - Finance, grade: 1,3, University of Groningen (Faculty of Economics and Business), language: English, abstract: This paper analyses the influence of commodity price shocks on companies’ firm value. Two timeframes of shocks on the commodities copper, aluminium as well as two rare earth elements, neodymium and lanthanum, were studied on their effects on stock prices. Companies have been selected according to their industry, their size, country of origin and commodity exposure. Unique issues in this work are the focus on commodity price shocks and the pre- selection of companies, where the chosen commodities are assumingly key input factors. Therefore this paper attempts to shed new light on the importance of commodity price exposure for the firm value of companies.
Author: Philipp Heilmann
Publisher: GRIN Verlag
ISBN: 3656153574
Category : Business & Economics
Languages : en
Pages : 35
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Book Description
Seminar paper from the year 2011 in the subject Economics - Finance, grade: 1,3, University of Groningen (Faculty of Economics and Business), language: English, abstract: This paper analyses the influence of commodity price shocks on companies’ firm value. Two timeframes of shocks on the commodities copper, aluminium as well as two rare earth elements, neodymium and lanthanum, were studied on their effects on stock prices. Companies have been selected according to their industry, their size, country of origin and commodity exposure. Unique issues in this work are the focus on commodity price shocks and the pre- selection of companies, where the chosen commodities are assumingly key input factors. Therefore this paper attempts to shed new light on the importance of commodity price exposure for the firm value of companies.
Author: Mikidadu Mohammed
Publisher: Routledge
ISBN: 1000485129
Category : Business & Economics
Languages : en
Pages : 215
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Book Description
The behaviour of commodity prices never ceases to marvel economists, financial analysts, industry experts, and policymakers. Unexpected swings in commodity prices used to occur infrequently but have now become a permanent feature of global commodity markets. This book is about modelling commodity price shocks. It is intended to provide insights into the theoretical, conceptual, and empirical modelling of the underlying causes of global commodity price shocks. Three main objectives motivated the writing of this book. First, to provide a variety of modelling frameworks for documenting the frequency and intensity of commodity price shocks. Second, to evaluate existing approaches used for forecasting large movements in future commodity prices. Third, to cover a wide range and aspects of global commodities including currencies, rare–hard–lustrous transition metals, agricultural commodities, energy, and health pandemics. Some attempts have already been made towards modelling commodity price shocks. However, most tend to narrowly focus on a subset of commodity markets, i.e., agricultural commodities market and/or the energy market. In this book, the author moves the needle forward by operationalizing different models, which allow researchers to identify the underlying causes and effects of commodity price shocks. Readers also learn about different commodity price forecasting models. The author presents the topics to readers assuming less prior or specialist knowledge. Thus, the book is accessible to industry analysts, researchers, undergraduate and graduate students in economics and financial economics, academic and professional economists, investors, and financial professionals working in different sectors of the commodity markets. Another advantage of the book’s approach is that readers are not only exposed to several innovative modelling techniques to add to their modelling toolbox but are also exposed to diverse empirical applications of the techniques presented.
Author: Takatoshi Ito
Publisher: University of Chicago Press
ISBN: 0226386902
Category : Business & Economics
Languages : en
Pages : 352
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Book Description
Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects, such as inflation and low rates of economic growth. Commodity Prices and Markets advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim. The volume addresses three distinct subjects: the difficulties in forecasting commodity prices, the effects of exogenous commodity price shocks on the domestic economy, and the relationship between price shocks and monetary policy. The ability to forecast commodity prices is difficult but of great importance to businesses and governments, and this volume will be invaluable to professionals and policy makers interested in the field.
Author: Ms.Stefania Fabrizio
Publisher: International Monetary Fund
ISBN: 1475596944
Category : Business & Economics
Languages : en
Pages : 86
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Book Description
As part of its work to help low-income countries manage volatility, the IMF has developed an analytical framework for assessing vulnerabilities and emerging risks that arise from changes in the external environment. This paper draws on the results of the first vulnerability exercise for low-income countries conducted by the IMF staff using this new framework. It focuses on the risks of a downturn in global growth and of further global commodity price shocks and discusses related policy challenges. Chapters review recent macroeconomic developments, including the spike in global commodity prices in early 2012; assess current risks and vulnerabilities, including how a sharp downturn in global growth and further commodity price shocks would affect low-income countries; and discuss policy challenges in the face of these risks and vulnerabilities.
Author: Mr. Tidiane Kinda
Publisher: International Monetary Fund
ISBN: 1484398939
Category : Social Science
Languages : en
Pages : 48
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Book Description
This paper investigates the impact of commodity price shocks on financial sector fragility. Using a large sample of 71 commodity exporters among emerging and developing economies, it shows that negative shocks to commodity prices tend to weaken the financial sector, with larger shocks having more pronounced impacts. More specifically, negative commodity price shocks are associated with higher non-performing loans, bank costs and banking crises, while they reduce bank profits, liquidity, and provisions to nonperforming loans. These adverse effects tend to occur in countries with poor quality of governance, weak fiscal space, as well as those that do not have a sovereign wealth fund, do not implement macro-prudential policies and do not have a diversified export base. These findings are robust to a battery of robustness checks.
Author: Mr.R. Gelos
Publisher: International Monetary Fund
ISBN: 1475510241
Category : Business & Economics
Languages : en
Pages : 32
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Book Description
This paper relates the inflationary impact of commodity price shocks across countries to a broad range of structural characteristics and policy frameworks over the period 2001-2010, using several approaches. The analysis suggests that economies with higher food shares in CPI baskets, fuel intensities, and pre-existing inflation levels were more prone to experience sustained inflationary effects from commodity price shocks. Countries with more independent central banks and higher governance scores seem to have contained the impact of these shocks better. The effect of the presence of inflation targeting regimes, however, appears very modest and not evident during the 2008 food price shock.The evidence suggests that trade openness, financial development, dollarization, and labor market flexibility do not significantly influence the way in which domestic inflation responds to international commodity price shocks.
Author: Rafael Portillo
Publisher: International Monetary Fund
ISBN: 1498333095
Category : Business & Economics
Languages : en
Pages : 35
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Book Description
We develop a tractable small open-economy model to study the first-round effects of international food price shocks in developing countries. We define first-round effects as changes in headline inflation that, holding core inflation constant, help implement relative price adjustments. The model features three goods (food, a generic traded good and a non-traded good), varying degrees of tradability of the food basket, and alternative international asset market structures (complete and incomplete markets, and financial autarky). First-round effects depend crucially on the asset market structure and the different transmission mechanisms they trigger. Under complete markets, inter-temporal substitution prevails, making the inflationary impact of international food prices proportional to the food share in consumption, which in developing economies is typically large. Under financial autarky, the income channel is dominant, and first-round effects are instead proportional to the country's food balance—the difference between the country's food endowment and its consumption—which in developing countries is typically small. The latter result holds regardless of the degree of food tradability. Incomplete markets yield a combination of the two extremes. Our results cast some doubt on the view that international food price shocks are inherently inflationary in developing countries.
Author: Stephane Goutte
Publisher: World Scientific
ISBN: 981121025X
Category : Business & Economics
Languages : en
Pages : 355
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Book Description
The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called 'commodities risk'. Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Author: International Monetary Fund. Strategy, Policy, & Review Department
Publisher: International Monetary Fund
ISBN: 1498338453
Category : Business & Economics
Languages : en
Pages : 63
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Book Description
As part of its work to help low-income countries (LICs) manage volatility, the IMF has recently developed an analytical framework to assess vulnerabilities and emerging risks that arise from changes in the external environment (see IMF, 2011a). This report draws on the results of the first Vulnerability Exercise for LICs (VE-LIC) conducted by IMF staff using this new framework. The report focuses on the risks of a downturn in global growth and of further global commodity price shocks, and discusses related policy challenges. The report is organized as follows: Chapter I reviews recent macroeconomic developments, including the spike in global commodity prices earlier this year. Chapter II assesses current risks and vulnerabilities, including how a sharp downturn in global growth and further commodity price shocks would affect LICs. Chapter III discusses policy challenges in the face of these risks and vulnerabilities.
Author: Gustavo Adler
Publisher: International Monetary Fund
ISBN: 1463926642
Category : Business & Economics
Languages : en
Pages : 39
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Book Description
Commodity-exporting countries have significantly benefited from the commodity price boom of recent years. At the current juncture, however, uncertain global economic prospects have raised questions about their vulnerability to a sharp fall in commodity prices and the policies that can shield it from such a shock. To address these questions, this paper takes a long term (4 decade) view at emerging markets' commodity dependence, the history of commodity price busts and the role of policies in mitigating or amplifying their economic impact. The paper highlights the stark difference in trends between Latin America - one of the most vulnerable regions given its high, and rising, commodity dependence - and emerging Asia - which has evolved from being a net exporter to a net importer of commodities in the last 40 years. We find evidence, however, that while commodity dependence is an important ingredient, a country's ultimate degree of vulnerability to commodity price shocks is to a great extent determined by the flexibility and quality of its policy framework. Policies in the run-up of sharp terms-of-trade drops - especially when those are preceded by booms - play a particularly important role. Limited exchange rate flexibility, a weak external position, and loose fiscal policy tend to amplify the negative effects of these shocks on domestic output. Financial dollarization also appears to act as a shock "amplifier."
