Makroekonomiczne determinanty stóp zwrotu na rynkach surowców w warunkach finansjalizacji

• Autorzy: Adam Zaremba

Warianty tytułu

Financialization and Macroeconomic Determinants of Commodity Returns

• Języki publikacji: PL

Abstrakty

Przedmiotem zainteresowań poniższego badania są makroekonomiczne determinanty stóp zwrotu na rynku surowców i oraz zmiany, jakie zaszły w zależnościach pomiędzy cenami na rynku surowców oraz agregatami ekonomicznym, odkąd rynki stały się "sfinansjalizowane" Artykuł kontrybuuje do literatury przedmiotu na cztery sposoby. Po pierwsze, dostarcza nowych dowodów na temat współzależności pomiędzy stopami zwrotu z surowców, inflacją i aktywnością ekonomiczną. Po drugie, wykazuje, że zależność zmian cen na rynkach towarowych od wahań koniunktury się stała silniejsza w ostatnich latach. Po trzecie, odpowiada na pytanie, czy zmianie uległa relacja wyprzedzająca i/lub opóźniona pomiędzy surowcami a cyklem koniunkturalnym. Po czwarte, udowadnia, że surowce w obliczu finansjalizacji zachowały swoje właściwości zabezpieczania przed inflacją. (fragment tekstu)

EN

Although financialization of commodity markets is a widely discussed topic in last few years, its implications for investors are not yet fully explored. This study focuses on the macroeconomic determinants of commodity returns in financialized and non-financialized markets. The paper contributes in four ways. First, it provides fresh evidence on the interdependences between commodity returns, inflation and business activity. Second, it documents increased correlation of the commodity returns with the business activity in the financialized markets. Third, it explores changes in the lead/ lag relationship of commodity prices and the business cycle. Fourth, it proves that the commodities retained their inflation hedging abilities in the financialized markets. The computations are based on listings of various commodity indices between 1970 and 2013. (original abstract)

Słowa kluczowe

PL

Cykl koniunkturalny; Surowce; Rynek surowców; Stopa zwrotu; Kontrakty futures; Inflacja

EN

Business cycles; Raw materials; Materials market; Rate of return; Futures contracts; Inflation

• Czasopismo: Finanse : czasopismo Komitetu Nauk o Finansach PAN
• Rocznik: 2014
• Numer: nr 1(7)
• Strony: 69--96

Twórcy

autor

Adam Zaremba

• Uniwersytet Ekonomiczny w Poznaniu

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