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Commodity price perdictability: commodity currencies or global risk factor
| dc.contributor.advisor | Universidad Torcuato Di Tella | |
| dc.contributor.author | Kiguel, Andrea | |
| dc.date.accessioned | 2017-04-03T18:09:44Z | |
| dc.date.available | 2017-04-03T18:09:44Z | |
| dc.date.issued | 2015 | |
| dc.date.submitted | 2015 | |
| dc.identifier.uri | https://repositorio.utdt.edu/handle/20.500.13098/2009 | |
| dc.description.abstract | In this paper, I argue that global factors also have a role in forecasting commodity prices. That is, both global factors and the exchange rates of small commodity exporters have predictive power over global commodity prices. I show that part of the information embedded in these countries' exchange rates is capturing a common risk factor relevant for forecasting. Given this result, I separate the predictability coming from changes in risk appetite versus 'true commodity views' in these commodity exporters' exchange rates to better understand the composition of risks. Using both aggregate indices and individual commodity prices, I study to what extent predictability in commodity price changes coming from a global factor and how much is due to commodity exporters' idiosyncratic information. | es_AR |
| dc.description.sponsorship | Esta tesis en PDF no tiene permisos por parte del autor para ser reproducida. Puedes venir a consultarla a la Biblioteca Di Tella pero recuerda que no podrás copiarla, ni grabarla en ningún dispositivo, ni enviarla, ni imprimirla. La consulta se hace solo bajo reserva escribiendo a serviciosbiblio@utdt.edu. | |
| dc.description.sponsorship | Si eres el autor de la tesis y quieres dar tu autorización para la reproducción, puedes ponerte en contacto con repositorio@utdt.edu. | |
| dc.format.extent | 20 p. | |
| dc.format.medium | application/pdf | |
| dc.language | eng | |
| dc.publisher | Universidad Torcuato Di Tella | |
| dc.rights | info:eu-repo/semantics/restrictedAccess | es_AR |
| dc.subject | Currency question | |
| dc.subject | Economía | |
| dc.subject | Tesis | |
| dc.title | Commodity price perdictability: commodity currencies or global risk factor | |
| dc.type | info:eu-repo/semantics/masterThesis | es_AR |
| UTDT.rights.PDF | Sí | |
| UTDT.rights.AUT | No | |
| UTDT.source.signatura | TESIS DIGITAL | |
| UTDT.source.inventario | 40965U | |
| UTDT.source.bdt | BDT90430 | |
| UTDT.source.idn | 000070809 | |
| thesis.degree.name | Maestría en Economía | |
| thesis.degree.level | 1 | es_AR |
| thesis.degree.grantor | Universidad Torcuato Di Tella. Departamento de Economía | |
| dc.audience | Researchers | |
| dc.audience | Students | |
| dc.audience | Teachers | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | es_AR |
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