How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index

Abstract

In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. In this article, the importance of chosen macroeconomic determinants to the price variability of one of the most important commodity indexes S & P GSCI by using the Boosted Trees method is quantified. The results obtained in the research show that changes in the monthly values of macroeconomic determinants reflect and can, according to the model used, explain the volatility of the monthly average index S & P GSCI Total Return to more than 75%. The most important macroeconomic determinants proved to be Nominal Effective Exchange Rate of USD or US – Short-term interest rates.

The Evaluation of Efficiency of Polish Agriculture

“…Smolík et al (2014) proposed the following factors having an impact on commodity price volatility: infl ation and the money supply, the exchange rate of USD, economic growth measured by GDP, infl ation and the money supply. It seems that these factors may aff ect the effi ciency of agriculture because commodity prices have an impact on agricultural incomes.…”