Systemic Risk Centre Seminar
Date: Monday, 12th June 2023
Time: 1.00 - 2.00pm BST
Speaker: Evgenia Passari (Université Paris Dauphine - PSL)
Seminar title: The Origins of Commodity Price Fluctuations, with Sarah Mouabbi (Banque de France) and Adrien Rousset Planat (London Business School)
Abstract: We build novel indexes of commodity-price developments by simulating news reading. Our proposed computer-based, narrative approach is flexible and spans all commodity markets, including energy, metals, agricultural and livestock. Empirical evidence indicates that our indexes successfully distinguish between supply and demand. Index-peaks track the post-crisis collapse of commodity markets, market-specific developments, and the recent COVID-19 crisis. The richness of news content allows to further identify key drivers that shape commodity markets, including business cycle effects, geopolitical risk, natural disasters, and climate change. Results indicate that the nature of commodity price movements matters for macroeconomic outcomes, firms’ decisions, and asset prices.
This is an in-person only public event, free and open to all. A light lunch is provided for those who have pre-registered by Thursday, 8th June, 12:00pm GMT.