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Causal relations between commodity prices and macroeconomic and financial indicators in the context of structural breaks in the international commodity markets

2012/07/B/HS4/00700

Keywords

Descriptors

  • HS4_12: Ekonomia międzynarodowa
  • HS4_3: Ekonometria i metody statystyczne
  • HS4_1: Makroekonomia (w tym: równowaga ekonomiczna, wzrost gospodarczy, wahania koniunkturalne w globalnej gospodarce, ekonomia pracy);

Panel

HS4 – Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution

UNIWERSYTET EKONOMICZNY W KRAKOWIE, Wydział Zarządzania

Voivodeship: małopolskie

Other projects carried out by the institution »

Principal investigator (from the host institution)

dr Sławomir Śmiech

Number of co-investigators in the project: 7

Call

OPUS 4 – announced on 2012-09-15

Amount awarded
380 120 PLN
Project start date
2013-07-02
Project end date
2017-07-01
Project duration
48 months (the same as in the proposal)
Project status
Project settled

Equipment purchased [PL]

  1. Komputer przenośny.
  2. Urządzenie wielofunkcyjne laserowe. Cost: 2 000 PLN

Information in the final report

Publication in academic press/journals (7)

  1. The Conditional Dependence Structure between Precious Metals: A Copula-GARCH Approach

    Authors:
    Stanisław Wanat, Monika Papież, Sławomir Śmiech
    Academic press:
    Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie (year: 2015, volume: 940 (nr 4), pages: 19-33), Publisher: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
    Status:
    Published
    DOI:
    10.15678/ZNUEK.2015.0940.0402 – link to the publication

  2. In search of hedges and safe havens in global financial markets

    Authors:
    Stanisław Wanat, Sławomir Śmiech, Monika Papież
    Academic press:
    Statistics in Transition (year: 2016, volume: Vol 17, No. 3, pages: 557-574), Publisher: PTS i GUS
    Status:
    Published

  3. In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework

    Authors:
    Sławomir Śmiech, Monika Papież
    Academic press:
    Finance Research Letters (year: 2017, volume: 20, pages: 238–244), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2016.10.006, – link to the publication

  4. The impact of the Euro area macroeconomy on global commodity prices

    Authors:
    Monika Papież, Sławomir Śmiech, Marek A. Dąbrowski
    Academic press:
    Argumenta Oeconomica Cracoviensia (year: 2016, volume: 14, pages: 59-77), Publisher: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
    Status:
    Published
    DOI:
    10.15678/AOC.2016.1403 – link to the publication

  5. Dynamic steam coal market integration: Evidence from rolling cointegration analysis

    Authors:
    Monika Papież, Sławomir Śmiech
    Academic press:
    Energy Economics (year: 2015, volume: 51, pages: 510-520), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2015.08.006 – link to the publication

  6. Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach

    Authors:
    Sławomir Śmiech, Monika Papież, Marek A. Dąbrowski
    Academic press:
    International Review of Economics and Finance (year: 2015, volume: 39, pages: 485-503), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.iref.2015.07.012 – link to the publication

  7. The Application of a Rolling Causality Test for Analysing Dependencies between the Prices of Corn, Crude Oil and Ethanol

    Authors:
    Monika Papież
    Academic press:
    Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie (year: 2015, volume: 940 (nr 4), pages: 101 - 116), Publisher: Uniwersytet Ekonomiczny w Krakowie
    Status:
    Published
    DOI:
    10.15678/ZNUEK.2015.0940.0408 – link to the publication

Articles in post-conference publications (10)

  1. The Impact of the Euro Area Macroeconomy on Global Commodity Prices

    Authors:
    Śmiech, S., Papież, M., Dąbrowski, M.A.,
    Conference:
    The 2nd International Interdisciplinary Business-Economics Advancement Conference (year: 2014, pages: 23-34), Publisher: The Istanbul University
    Date:
    conference 16 - 19 Lipiec
    Status:
    Published
    DOI:
    link to the publication

  2. Dissimilarity of commodity prices – the results of time series clustering

    Authors:
    Śmiech S.,
    Conference:
    32nd International Conference on Mathematical Methods in Economics (year: 2014, pages: 920-925), Publisher: Palacký University, Olomouc
    Date:
    conference 10-12 września 2014
    Status:
    Published
    DOI:
    link to the publication

  3. Accuracy of the Real Crude Oil Price Forecast for Different Specification of VAR Models

    Authors:
    Sławomir Śmiech
    Conference:
    The 9th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena (year: 2015, pages: 205-214), Publisher: Foundation of the Cracow University of Economics
    Date:
    conference 12-15 maja 2015
    Status:
    Published
    DOI:
    link to the publication

  4. Volatility spillovers between food, energy, US dollar, and equity markets. Evidence from Diebold -Yilmaz's approach

    Authors:
    Śmiech, S., Papież, M., Fijorek, K
    Conference:
    The 11th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena (year: 2017, pages: 407-416), Publisher: Foundation of the Cracow University of Economics
    Date:
    conference 9-12 maja 2017
    Status:
    Published
    DOI:
    link to the publication

  5. It is possible to use gold and WTI to protect portfolio loses?

    Authors:
    Sławomir Śmiech , Monika Papież
    Conference:
    The 10th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena (year: 2016, pages: 179 - 188), Publisher: Foundation of the Cracow University of Economics
    Date:
    conference 10-13 Maja
    Status:
    Published
    DOI:
    link to the publication

  6. Commodity prices and real and financial processes in the Euro area: a Bayesian SVAR approach

    Authors:
    Kostrzewski M., Śmiech S.,Papież M., Dąbrowski M.A.
    Conference:
    32nd International Conference on Mathematical Methods in Economics 2014 (year: 2014, pages: 471-476), Publisher: Palacký University, Olomouc
    Date:
    conference 10-12 września 2014
    Status:
    Published
    DOI:
    link to the publication

  7. Energy and non-energy commodity prices and the Eurozone macroeconomy: a SVAR approach

    Authors:
    Śmiech, S., Papież, M., Dąbrowski, M.A
    Conference:
    The 8 th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena (year: 2014, pages: 165-174), Publisher: Foundation of the Cracow University of Economics
    Date:
    conference 12-15 maj 2014
    Status:
    Published
    DOI:
    link to the publication

  8. The conditional dependence structure among precious metals: a copula-GARCH approach

    Authors:
    Wanat S., Papież M., Śmiech S.
    Conference:
    32nd International Conference on Mathematical Methods in Economics 2014 (year: 2014, pages: 1096-1101), Publisher: Palacký University, Olomouc
    Date:
    conference 10-12 września 2014
    Status:
    Published
    DOI:
    link to the publication

  9. A dynamic analysis of causality between prices of corn, crude oil and ethanol

    Authors:
    Papież. M.,
    Conference:
    32nd International Conference Mathematical Methods in Economics (year: 2014, pages: 754-759), Publisher: Palacký University
    Date:
    conference 10-12 września 2014
    Status:
    Published
    DOI:
    link to the publication

  10. Is It Possible to Successfully Forecast the Real Price of Crude Oil at Short Horizons?

    Authors:
    Monika Papież
    Conference:
    The 9th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena (year: 2015, pages: 154-163), Publisher: Foundation of the Cracow University of Economics
    Date:
    conference 12-15 maja 2015
    Status:
    Published
    DOI:
    link to the publication

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