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

The National Science Centre – 2012/07/B/HS4/00700 ( 2013 -2016).

Project manager: dr Śmiech Sławomir; Key Investigator: dr Monika Papież

2015

Papież, M., Śmiech, S. (2015). Dynamic steam coal market integration: Evidence from rolling cointegration analysis. Energy Economics, 51, 510-520. http://www.sciencedirect.com/science/article/pii/S0140988315002297  (MNiSW-45 pkt)  (IF 5year 3.374).

Śmiech, S., Papież, M.,  Dąbrowski, M. A. (2015). Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach. International Review of Economics & Finance, 39, 485-503. http://www.sciencedirect.com/science/article/pii/S1059056015001197 (MNiSW-25 pkt) (IF 5year 1.397).

Papież, M. (2015), The Application of a Rolling Causality Test for Analysing Dependencies between the Prices of Corn, Crude Oil and Ethanol, Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie, 940 (nr 4), 101-116.   https://zeszyty-naukowe.uek.krakow.pl/article/view/500  (MNiSW-11 pkt)

Śmiech, S. (2015), Co-movement of Commodity Prices – Results from Dynamic Time Warping Classification, Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie, 940 (nr 4), 117-130.   https://zeszyty-naukowe.uek.krakow.pl/article/view/501  (MNiSW-11 pkt)

Wanat, S., Papież, M., Śmiech, S. (2015), The Conditional Dependence Structure between Precious Metals: a Copula-GARCH Approach, Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie, 940 (nr 4), 19-33. (MNiSW-11 pkt).  https://zeszyty-naukowe.uek.krakow.pl/article/view/494

Papież, M., (2015). Is it possible to successfully forecast the real price of crude oil at short horizons? In: Papież,  M.,  Śmiech, S., (eds.), Proceedings of  the 9 th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena. Cracow: Foundation of the Cracow University of Economics, 154-163. http://pliki.konferencjazakopianska.pl/proceedings_2015/proceedings.html

Śmiech, S., (2015). Accuracy of the real crude oil price forecast for different specification of VAR models, In: Papież,  M.,  Śmiech, S., (eds.), Proceedings of  the 9 th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena. Cracow: Foundation of the Cracow University of Economics, 205-214. http://pliki.konferencjazakopianska.pl/proceedings_2015/proceedings.html

2014

Kostrzewski, M., Śmiech, S., Papież, M., Dąbrowski, M.A.,  2014. Commodity prices and real and financial processes in the Euro area: a Bayesian SVAR approach, in: Talašová, J., Stoklasa, J., Talášek, T., (eds.) Proceedings of 32nd International Conference Mathematical Methods in Economics. Faculty of Science Palacký University, Olomouc, Olomouc, Czech Republic, 471-476. PDF http://www.mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf

Papież, M., 2014.  A dynamic analysis of causality between prices of corn, crude oil and ethanol, in: Talašová, J., Stoklasa, J., Talášek, T., (eds.) Proceedings of 32nd International Conference Mathematical Methods in Economics. Faculty of Science Palacký University, Olomouc, Olomouc, Czech Republic, 754 -759. PDF http://www.mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf

Śmiech, S., (2014).  Dissimilarity of commodity prices – the results of time series clustering, in: Talašová, J., Stoklasa, J., Talášek, T., (eds.) Proceedings of 32nd International Conference Mathematical Methods in Economics. Faculty of Science Palacký University, Olomouc, Olomouc, Czech Republic, 920-925. PDF  http://www.mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf

Wanat, S., Papież, M., Śmiech, S. (2014).  The conditional dependence structure among precious metals: a copula-GARCH approach, in: Talašová, J., Stoklasa, J., Talášek, T., (eds.) Proceedings of 32nd International Conference Mathematical Methods in Economics. Faculty of Science Palacký University, Olomouc, Olomouc, Czech Republic, 1096 -1101. PDF http://www.mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf

Śmiech, S., Papież, M., Dąbrowski, M.A. 2014. Energy and non-energy commodity prices and the Eurozone macroeconomy: a SVAR approach. In: Papież,  M.,  Śmiech, S., (eds.), Proceedings of  the 8 th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena. Cracow: Foundation of the Cracow University of Economics, 165-174. http://www.pliki.konferencjazakopianska.pl/proceedings_2014/pdf/Smiech_Papiez_Dabrowski.pdf

Working papers

Papież, M., 2014. A dynamic analysis of causality between prices of corn, crude oil and ethanol. MPRA paper 56540, University Library of Munich, Germany –  working paper version is available from RePEc: http://ideas.repec.org/p/pra/mprapa/56540.html

Wanat, S., Papież,  M.,  Śmiech, S., 2014. The conditional dependence structure between precious metals: a copula-GARCH approach. MPRA paper 56664, University Library of Munich, Germany – working paper version is available from RePEc: https://ideas.repec.org/p/pra/mprapa/56664.html

Śmiech, S.,  2014.  Co-movement of commodity prices – results from dynamic time warping classification. MPRA Paper 56546, University Library of Munich, Germany –  working paper version is available from RePEc: http://ideas.repec.org/p/pra/mprapa/56546.html