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3. Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases

Author

Luca Agnello, Vitor Castro, Shawkat Hammoudeh, Ricardo M. Sousa, Agnello, Luca, Castro, Vítor, Hammoudeh, Shawkat, and Sousa, Ricardo M.

Subjects
Inflation, Economics and Econometrics, 020209 energy, media_common.quotation_subject, Commodity price cycles, Continuous-time Weibull model, Global factors, 05 social sciences, Monetary policy, Settore SECS-P/02 Politica Economica, Duration dependence, 02 engineering and technology, Monetary economics, Boom, General Energy, 13. Climate action, 8. Economic growth, 0502 economics and business, 0202 electrical engineering, electronic engineering, information engineering, Economics, 050207 economics, Duration (project management), Commodity (Marxism), media_common
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 length. A rise in the number of military conflicts around the globe is associated with shorter booms and busts. Finally, we find that a rise in oil prices is linked with longer booms and shorter busts.

Published
2020

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