Impact of Drought on Commodity Market Forecasting
| Author: | Bc. Kristian Racocha |
|---|---|
| Year: | 2020 - summer |
| Leaders: | Marek Hauzr |
| Consultants: | |
| Work type: | Bachelors |
| Language: | English |
| Pages: | 57 |
| Awards and prizes: | |
| Link: | https://is.cuni.cz/webapps/zzp/detail/213750/ |
| Abstract: | This thesis analyzes the relationship of drought (SPEI-01) and commodity prices. Cyclical properties of both components are extracted and by utilizing the spectral factor models proposed by Bandi et al. (2019) the impact of SPEI-01 on various commodity prices across a range of frequencies is examined. The analysis reveals that most of the commodities are impacted by SPEI-01 when considering cycles of lengths 2 − 4 months and 32 − 64 months. For frequencies, where a signifcant relationship is found, the commodity prices are forecasted using the ARIMA model with and without the inclusion of the drought variable. The results suggest that the inclusion of drought is benefcial for a majority of the models, however, in a considerable number of occasions the models exhibited a diminished performance. |
