Exploring the Determinants of Agricultural Commodity Returns
Abstract
This paper investigates the Granger causal relations between agricultural commodity
returns and several potential determinants using a multivariate Vector Error Correction
Model (VECM) and Impulse Response Functions (IRF). Agricultural commodities are
critical for global food supply, and understanding their determinants is crucial for policymakers
and investors. Results show that biofuel and fertilizer returns have a short-run
predictive power over future agricultural commodity returns. We contribute to the existing
body of literature by examining a comprehensive array of determinants. Our findings
could help inform decision-makers in the agricultural sector and improve the investment
processes for agricultural commodity investors.
Degree
Master 2-years
Other description
MSc in Economics & MSc in Finance
Collections
View/ Open
Date
2023-06-29Author
Blidberg, Andreas
Skans, Ludwig
Keywords
Agricultural commodities
Energy commodities
Granger causality
Vector Error Correction Model
VECM
Impulse Response Functions
IRF
Series/Report no.
2023:203
Language
eng