|Title: ||Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases
||Author(s): ||Agnello, L.
||Keywords: ||Commodity price cycles; Continuous-time Weibull model; Global factors
||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.
||Issue Date: ||2020
||Publisher: ||Elsevier B.V.
||Series/Report no.: ||Vol. 90
|Appears in Collections:||INTERNATIONAL PUBLICATIONS|