What Drives Commodity Price Booms and Busts?

29 Pages Posted: 21 Nov 2016

See all articles by David S. Jacks

David S. Jacks

Simon Fraser University (SFU) - Department of Economics; National Bureau of Economic Research (NBER)

Martin Stuermer

Federal Reserve Bank of Dallas, Research Department

Multiple version iconThere are 2 versions of this paper

Date Written: 2016-11-01

Abstract

What drives commodity price booms and busts? We provide evidence on the dynamic effects of commodity demand shocks, commodity supply shocks, and inventory demand shocks on real commodity prices. In particular, we analyze a new data set of price and production levels for 12 agricultural, metal, and soft commodities from 1870 to 2013. We identify differences in the type of shock driving prices of the various types of commodities and relate these differences to commodity types which reflect differences in long-run elasticities of supply and demand. Our results show that demand shocks strongly dominate supply shocks.

Keywords: Commodity prices, natural resources, structual VAR

JEL Classification: E30, N50, Q31, Q33

Suggested Citation

Jacks, David S. and Stuermer, Martin, What Drives Commodity Price Booms and Busts? (2016-11-01). FRB of Dallas Working Paper No. 1614, Available at SSRN: https://ssrn.com/abstract=2872652 or http://dx.doi.org/10.24149/wp1614

David S. Jacks (Contact Author)

Simon Fraser University (SFU) - Department of Economics ( email )

8888 University Drive
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Canada

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Martin Stuermer

Federal Reserve Bank of Dallas, Research Department ( email )

2200 N. Pearl St
Dallas, TX 75201
United States

HOME PAGE: http://https://sites.google.com/site/mstuermer1/

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