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Journal article
Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases
Energy economics, v 90, pp 1-15
Aug 2020
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
We investigate the role of global factors in explaining the length of commodity price cycle phases, using a continuous-time Weibull duration model and data for a panel of 33 countries over the period 1980Q1–2015Q4. We find evidence of increasing (constant) positive duration dependence for commodity price booms and busts (normal time spells). Global macroeconomic conditions - in particular, inflation, economic policy uncertainty and monetary policy actions - significantly affect the duration of all commodity price cycle phases. Global environmental conditions also impact the duration of commodity price booms, with a rise in average temperature (rainfall) increasing (reducing) their lengths. A larger number of military conflicts around the globe is associated with shorter booms and busts. Finally, we find that higher oil prices are linked with longer booms and shorter busts.
•We investigate how global factors affect the length of commodity price cycle phases.•Global macroeconomic conditions significantly affect the duration of all phases.•Higher average temperature (rainfall) also increases (reduces) booms' duration.•A rise in military conflicts around the globe is linked with shorter booms/busts.•Higher oil prices are associated with longer (shorter) booms (busts).
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Details
- Title
- Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases
- Creators
- Luca Agnello - University of PalermoVítor Castro - Loughborough UniversityShawkat Hammoudeh - Drexel UniversityRicardo M. Sousa - London School of Economics and Political Science
- Publication Details
- Energy economics, v 90, pp 1-15
- Publisher
- Elsevier
- Grant note
- UIDB/ECO/03182/2020 / Portuguese Foundation for Science and Technology
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000568772600008
- Scopus ID
- 2-s2.0-85088904579
- Other Identifier
- 991019168078504721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics