14:15 - 15:45
The Origins of Commodity Price Fluctuations
We build indexes of commodity-price developments by simulating news reading. Our proposed computer-based, narrative approach is flexible and spans all commodity markets, including energy, metals, agricultural and livestock.
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Evgenia Passari is an Associate Professor of Finance at Université Paris Dauphine - PSL, and a CEPR Research Affiliate. Her research interests lie in the fields of international finance with an emphasis on exchange rates, commodities and international capital flows. Her work also covers empirical asset pricing and political economy topics.
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We build indexes of commodity-price developments by simulating news reading. Our proposed computer-based, narrative approach is flexible and spans all commodity markets, including energy, metals, agricultural and livestock. Empirical evidence indicates that our indexes successfully distinguish between supply and demand. Index-peaks track the post-crisis collapse of commodity markets, market-specific developments, and the recent Covid-19 crisis. The richness of news content allows to further identify key drivers that shape commodity markets, including business cycle effects, geopolitical risk, natural disasters, and climate change. Results indicate that the nature of commodity price movements matters for macroeconomic outcomes, firms’ decisions, and asset prices.
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