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The Dynamics of Commodity Spot and Futures Markets: A Primer

Robert S. Pindyck

Year: 2001
Volume: Volume22
Number: Number 3
DOI: 10.5547/ISSN0195-6574-EJ-Vol22-No3-1
No Abstract

Unveiling the Time-dependent Dynamics between Oil Prices and Exchange Rates: A Wavelet-based Panel Analysis

Hyunjoo Kim Karlsson, Kristofer Månsson, and Pär Sjölander

Year: 2020
Volume: Volume 41
Number: Number 6
DOI: 10.5547/01956574.41.6.hkar
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The objective of this paper is to re-examine the relationship between real oil prices and real effective exchange rates (REER) for major oil-exporting countries with floating exchange rates. We apply the wavelet-based principles of Gallegati et al. (2016) using monthly data for the period 1996 to 2015. In contrast to many previous studies, our results support the theoretically expected positive nexus between the real oil prices and REER for our dataset. This (theoretically-expected) positive relationship is stronger at the larger time scales (that is, at the 4-8 and 8-16 month wavelet scales) compared to the smaller time scales (that is, at the 1-2 and 2-4 month wavelet scales). The findings of this study therefore add to the existing literature, since they disentangle the specific relationship between oil prices and exchange rates at different time scales, which has important policy implications.

Analyzing Commodity Prices in the Context of COVID-19, High Inflation, and the Ukrainian War: An Interview with James Hamilton

Fredj Jawadi

Year: 2023
Volume: Volume 44
Number: Number 1
DOI: 10.5547/01956574.44.1.fjaw
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The following interview with Prof. James Hamilton was conducted in September 2022 by Dr. Fredj Jawadi with the assistance of Professor Adonis Yatchew in association with the 6th International Workshop on Financial Markets and Nonlinear Dynamics (FMND) held in Paris, France. The interview includes 20 questions related to commodity price dynamics. The aim of the discussion was, first, to help readers gain a better understanding of the factors driving commodity price volatility during the COVID-19 pandemic. Second, we analyzed commodity reactions to the ongoing Ukrainian war. Third, we examined the impact of changes in commodity prices on the economy as a whole and on inflation in particular. Finally, we discussed projections related to the dynamics of commodity prices in the future and the impact on the energy transition process. We hope that this interview will give readers clearer insights into the causes and consequences of commodity price changes and their evolution over time.

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