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Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach

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  • Śmiech, Sławomir
  • Papież, Monika
  • Dąbrowski, Marek A.

Abstract

This paper investigates the effects of real and financial processes in the euro area macroeconomy on energy and non-energy commodity prices. The relations implied by the proposed theoretical model are examined within the structural VAR framework for three sub-periods. Our main finding is that, although global commodity prices are indeed related to real and financial processes in the euro area macroeconomy, the relations among them are not stable over time. Energy prices and interest rates depart from real processes in the pre-crisis period, whereas the relative importance of real and financial factors changes for non-energy commodity price index.

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  • Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2015. "Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 485-503.
  • Handle: RePEc:eee:reveco:v:39:y:2015:i:c:p:485-503
    DOI: 10.1016/j.iref.2015.07.012
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    Cited by:

    1. repec:eee:eneeco:v:66:y:2017:i:c:p:571-581 is not listed on IDEAS
    2. repec:eee:jrpoli:v:55:y:2018:i:c:p:103-112 is not listed on IDEAS
    3. repec:eee:joecas:v:14:y:2016:i:pb:p:168-178 is not listed on IDEAS
    4. Barbaglia, Luca & Wilms, Ines & Croux, Christophe, 2016. "Commodity dynamics: A sparse multi-class approach," Energy Economics, Elsevier, vol. 60(C), pages 62-72.
    5. Papież, Monika & Śmiech, Sławomir, 2015. "Dynamic steam coal market integration: Evidence from rolling cointegration analysis," Energy Economics, Elsevier, vol. 51(C), pages 510-520.
    6. Luca Barbaglia & Ines Wilms & Christophe Croux, 2016. "Commodity Dynamics: A Sparse Multi-class Approach," Papers 1604.01224, arXiv.org, revised Oct 2016.
    7. Shang, Hua & Yuan, Ping & Huang, Lin, 2016. "Macroeconomic factors and the cross-section of commodity futures returns," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 316-332.

    More about this item

    Keywords

    Commodity prices; Real economy; Financial market; Euro area; SVAR;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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