Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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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:

International commodity market structural breaks cross- market linkeages the analysis of dynamic causality relationships financialization

Descriptors:

  • HS4_12: Living conditions and standards, income distribution, poverty
  • HS4_3: Econometrics, statistical methods
  • HS4_1: Macroeconomics (incl. economic balance, economic growth, business cycles in global economy, labour economics)

Panel:

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

Host institution :

Uniwersytet Ekonomiczny w Krakowie, Wydział Zarządzania

woj. 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 (Y-m-d): 2013-07-02

Project end date (Y-m-d): 2017-07-01

Project duration:: 48 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. Urządzenie wielofunkcyjne laserowe (2 000 PLN)
  2. Komputer przenośny.

Information in the final report

  • Publication in academic press/journals (8)
  • Articles in post-conference publications (10)
  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 (rok: 2015, tom: 940 (nr 4), strony: 19-33), Wydawca: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
    Status:
    Published
    DOI:
    10.15678/ZNUEK.2015.0940.0402 - link to the publication
  2. What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets
    Authors:
    Śmiech S., Papież M., Fijorek K., Dąbrowski M.
    Academic press:
    Economics, Discussion papers (rok: 2018, ), Wydawca: the Kiel Institute for World Economy; the ZBW – Leibniz Information Centre for Economics.
    Status:
    Submitted
    DOI:
    brak - link to the publication
  3. 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 (rok: 2015, tom: 39, strony: 485-503), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.iref.2015.07.012 - 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 (rok: 2016, tom: 14, strony: 59-77), Wydawca: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
    Status:
    Published
    DOI:
    10.15678/AOC.2016.1403 - link to the publication
  5. 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 (rok: 2017, tom: 20, strony: 238–244), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.006, - link to the publication
  6. Dynamic steam coal market integration: Evidence from rolling cointegration analysis
    Authors:
    Monika Papież, Sławomir Śmiech
    Academic press:
    Energy Economics (rok: 2015, tom: 51, strony: 510-520), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2015.08.006 - link to the publication
  7. In search of hedges and safe havens in global financial markets
    Authors:
    Stanisław Wanat, Sławomir Śmiech, Monika Papież
    Academic press:
    Statistics in Transition (rok: 2016, tom: Vol 17, No. 3, strony: 557-574), Wydawca: PTS i GUS
    Status:
    Published
    DOI:
    http://pts.stat.gov.pl/files/gfx/pts/pl/defaultstronaopisowa/58/1/1/000_sit_17_3_11_10__2016.pdf - link to the publication
  8. 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 (rok: 2015, tom: 940 (nr 4), strony: 101 - 116), Wydawca: Uniwersytet Ekonomiczny w Krakowie
    Status:
    Published
    DOI:
    10.15678/ZNUEK.2015.0940.0408 - link to the publication
  1. 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 (rok: 2014, ), Wydawca: Foundation of the Cracow University of Economics
    Data:
    konferencja 12-15 maj 2014
    Status:
    Published
    DOI:
    link to the publication
  2. 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 (rok: 2015, ), Wydawca: Foundation of the Cracow University of Economics
    Data:
    konferencja 12-15 maja 2015
    Status:
    Published
    DOI:
    link to the publication
  3. 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 (rok: 2014, ), Wydawca: Palacký University, Olomouc
    Data:
    konferencja 10-12 września 2014
    Status:
    Published
    DOI:
    link to the publication
  4. 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 (rok: 2015, ), Wydawca: Foundation of the Cracow University of Economics
    Data:
    konferencja 12-15 maja 2015
    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 (rok: 2016, ), Wydawca: Foundation of the Cracow University of Economics
    Data:
    konferencja 10-13 Maja
    Status:
    Published
    DOI:
    link to the publication
  6. A dynamic analysis of causality between prices of corn, crude oil and ethanol
    Authors:
    Papież. M.,
    Conference:
    32nd International Conference Mathematical Methods in Economics (rok: 2014, ), Wydawca: Palacký University
    Data:
    konferencja 10-12 września 2014
    Status:
    Published
    DOI:
    link to the publication
  7. 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 (rok: 2014, ), Wydawca: The Istanbul University
    Data:
    konferencja 16 - 19 Lipiec
    Status:
    Published
    DOI:
    link to the publication
  8. 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 (rok: 2014, ), Wydawca: Palacký University, Olomouc
    Data:
    konferencja 10-12 września 2014
    Status:
    Published
    DOI:
    link to the publication
  9. Dissimilarity of commodity prices – the results of time series clustering
    Authors:
    Śmiech S.,
    Conference:
    32nd International Conference on Mathematical Methods in Economics (rok: 2014, ), Wydawca: Palacký University, Olomouc
    Data:
    konferencja 10-12 września 2014
    Status:
    Published
    DOI:
    link to the publication
  10. 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 (rok: 2017, ), Wydawca: Foundation of the Cracow University of Economics
    Data:
    konferencja 9-12 maja 2017
    Status:
    Published
    DOI:
    link to the publication

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