The Changing Relationship Between Commodity Prices and Equity Prices in Commodity Exporting Countries
Tóm tắt
The paper explores the linkage between equity and commodity markets, focusing in particular on its evolution over time. It documents that a country's equity market value has significant out-of-sample predictive ability for the future global commodity price index for several primary commodity-exporting countries. The out-of-sample predictive ability of the equity market appears around 2000s. The results are robust to using several control variables as well as firm-level equity data. Finally, the results indicate that exchange rates are a better predictor of commodity prices than equity markets, especially at very short horizons.
Tài liệu tham khảo
Alquist, R., L. Kilian, and R. Vigfusson, 2011, “Forecasting the Price of Oil,” in Handbook of Economic Forecasting, Vol. 2, ed. by G. Elliott and A. Timmermann (Amsterdam: Elsevier-North Holland).
Amano, R.A., and S. van Norden, 1995, “Terms of Trade and Real Exchange Rates: The Canadian Evidence,” Journal of International Money and Finance, Vol. 14, No. 1, pp. 83–104.
Andrews, D.W.K., 1993, “Tests for Parameter Instability and Structural Change with Unknown Change Point,” Econometrica, Vol. 61, No. 4, pp. 821–856.
Baskaya, Y.S., T. Hulagu, and H. Kucuk, 2012, “Oil Price Uncertainty in a Small Open Economy,” mimeo, www.imf.org/external/np/seminars/eng/2011/tur/index.htm.
Bodenstein, M., L. Guerrieri, and L. Kilian, 2012, “Monetary Policy Responses to Oil Price Fluctuations,” mimeo, www.imf.org/external/np/seminars/eng/2011/tur/index.htm.
Buyuksahin, B., M. Haigh, and M. Robe, 2008, “Commodities and Equities: A ‘Market of One’?” mimeo, U.S. Commodity Futures Trading Commission.
Caballero, R.J., E. Farhi, and P.O. Gourinchas, 2008, “Financial Crash, Commodity Prices, and Global Imbalances,” Brookings Papers on Economic Activity, Vol. 39, No. 2, pp. 1–55.
Cashin, P., L.F. Cespedes, and R. Sahay, 2004, “Commodity Currencies and the Real Exchange Rate,” Journal of Development Economics, Vol. 75, No. 1, pp. 239–268.
Catao, L., and R. Chang, 2012, “Monetary Rules for Commodity Traders,” mimeo www.imf.org/external/np/seminars/eng/2011/tur/index.htm.
Céspedes, L.F., and A. Velasco, 2012, “Macroeconomic Performance During Commodity Price Booms,” mimeo www.imf.org/external/np/seminars/eng/2011/tur/index.htm.
Chen, Y.C., and K. Rogoff, 2003, “Commodity Currencies,” Journal of International Economics, Vol. 60, No. 1, pp. 133–160.
Chen, Y.C., K. Rogoff, and B. Rossi, 2010, “Can Exchange Rates Forecast Commodity Prices?” Quarterly Journal of Economics, Vol. 125, No. 3, pp. 1145–1194.
Clark, T., and K.D. West, 2006, “Using Out-of-sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis,” Journal of Econometrics, Vol. 135, No. 1–2, pp. 155–186.
Clark, T., and M. McCracken, 2001, “Tests of Equal Forecast Accuracy and Encompassing for Nested Models,” Journal of Econometrics, Vol. 105, No. 1, pp. 85–110.
De Gregorio, J., 2012, “Commodity Prices, Monetary Policy and Inflation,” mimeo, Universidad de Chile www.imf.org/external/np/seminars/eng/2011/tur/index.htm.
Diebold, F.X., and R. Mariano, 1995, “Comparing Predictive Accuracy,” Journal of Business and Economic Statistics, Vol. 13, No. 3, pp. 253–263.
Giacomini, R., and B. Rossi, 2010, “Forecast Comparisons in Unstable Environments,” Journal of Applied Econometrics, Vol. 25, No. 4, pp. 595–620.
Hamilton, J., 2009, “Causes and Consequences of the Oil Shock of 2007–2008,” Working Paper (UC San Diego).
International Monetary Fund (IMF), 2012, World Economic Outlook, World Economic and Financial Surveys (Washington, April).
Kilian, L., 2009, “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market,” American Economic Review, Vol. 99, No. 3, pp. 1053–1069.
Kose, M., 2002, “Explaining Business Cycles in Small Open Economies: How Much Do World Prices Matter?” Journal of International Economics, Vol. 56, No. 2, pp. 299–327.
Lombardi, M.J., and I.V. Robaysy, 2012, “Do Financial Investors Destabilize the Oil Price?,” mimeo, www.imf.org/external/np/seminars/eng/2011/tur/index.htm.
Newey, W., and K.D. West, 1987, “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,” Econometrica, Vol. 55, No. 3, pp. 703–708.
Rossi, B., 2005, “Optimal Tests for Nested Model Selection with Underlying Parameter Instabilities,” Econometric Theory, Vol. 21, No. 5, pp. 962–990.
Tang, K., and W. Xiong, 2010, “Index Investment and Financialization of Commodities,” NBER Working Paper w16385.