Empirical essays on commodity prices
(2012)
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- (en) This dissertation contains four empirical essays on commodity prices and aims to improve our understanding of the natural resource curse. Paradoxically, the economic growth of developing countries is found in most empirical papers to be negatively correlated with natural resource abundance. We explore two mechanisms behind this counterintuitive empirical finding: volatility and real exchange rate. Firstly, we show that commodities have a specific price dynamic. The price volatility exhibits a significant asymmetric effect related to the evolutions of the inventories. We develop an optimal hedging strategy accounting for this asymmetry by relying on asymmetric multivariate volatility models. Secondly, we explore the way commodity prices affect real exchange rates of developing countries highly specialized in the export of commodities. We find that the relationship is the strongest in countries specialized in the production and export of one main commodity. We then analyze and show which structural factors contribute to this effect (trade openness, financial openness, currency regime). These four essays on the natural resource curse are especially relevant in the current economic context, where the commodity price volatility is high and the level of the commodity prices largely above historical trends.
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Carpantier, J.-F. (2012). Empirical essays on commodity prices. https://hdl.handle.net/2078.5/157656