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Commodity price cycles and financial pressures in African commodities exporters
[Cycles de prix des matières premières et tensions financières dans les pays exportateurs de matières premières]

Author

Listed:
  • Sandrine Kablan

    (ERUDITE - Equipe de Recherche sur l’Utilisation des Données Individuelles en lien avec la Théorie Economique - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)

  • Zied Ftiti

    (EDC - EDC Paris Business School)

  • Khaled Guesmi

    (EDC - EDC Paris Business School)

Abstract

In this study, we examine the interdependence between the credit and commodity price cycles among African commodity exporters. Specifically, we use an evolutionary co-spectral analysis that sets a time-varying dynamic correlation measure. Results of our analyses suggest that persistent commodity price shocks exert a greater impact on real economy than transitory fluctuations. Similar patterns can be derived for different types of commodities. During downswings, coherence is high for beverages and agricultural raw materials. In contrast, coherence for metals and oil is high during upswings. Periods of high coherence correspond to periods of financial pressure. As such, they can serve as indicators for impending financial crises.

Suggested Citation

  • Sandrine Kablan & Zied Ftiti & Khaled Guesmi, 2017. "Commodity price cycles and financial pressures in African commodities exporters [Cycles de prix des matières premières et tensions financières dans les pays exportateurs de matières premières]," Post-Print hal-04281443, HAL.
    • Handle: RePEc:hal:journl:hal-04281443
    DOI: 10.1016/j.ememar.2016.05.005
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    1. repec:ocp:ppaper:pb1824 is not listed on IDEAS
    2. Bilgili, Faik & Kassouri, Yacouba & Kuşkaya, Sevda & Majok Garang, Aweng Peter, 2024. "The dynamic nexus of oil price fluctuations and banking sector in China: A continuous wavelet analysis," Resources Policy, Elsevier, vol. 88(C).
    3. Ben Maatoug, Abderrazek & Ben Ayed, Wassim & Ftiti, Zied, 2019. "Are MENA banks’ capital buffers countercyclical? Evidence from the Islamic and conventional banking systems," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 109-118.
    4. Alfredo Villca & Alejandro Torres-García, 2023. "Commodity price shocks and the business cycles in emerging economies: the role of banking system balance sheets," Empirical Economics, Springer, vol. 65(5), pages 2039-2063, November.
    5. repec:ocp:rpcoen:pb-18-24 is not listed on IDEAS
    6. Ghulam Mujtaba & Asima Siddique & Nader Naifar & Syed Jawad Hussain Shahzad, 2024. "Hedge and safe haven role of commodities for the US and Chinese equity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2381-2414, April.
    7. Kassouri, Yacouba & Altıntaş, Halil & Bilgili, Faik, 2020. "An investigation of the financial resource curse hypothesis in oil-exporting countries: The threshold effect of democratic accountability," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
    8. Hachmi Ben Ameur & Sahbi Boubaker & Zied Ftiti & Wael Louhichi & Kais Tissaoui, 2024. "Forecasting commodity prices: empirical evidence using deep learning tools," Annals of Operations Research, Springer, vol. 339(1), pages 349-367, August.
    9. Marek Szturo & Bogdan Wlodarczyk & Konrad Szydlowski & Karol Wojtowicz & Sylwia Pienkowska-Kamieniecka & Ireneusz Miciula, 2021. "Default Risk of Listed Companies in the Context of the Threat to Commodity Markets in the Times of COVID-19 Pandemic," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 53-68.
    10. Boako, Gideon & Alagidede, Imhotep Paul & Sjo, Bo & Uddin, Gazi Salah, 2020. "Commodities price cycles and their interdependence with equity markets," Energy Economics, Elsevier, vol. 91(C).
    11. repec:ers:journl:v:xxiv:y:2021:i:special1:p:53-68 is not listed on IDEAS
    12. Bossman, Ahmed & Agyei, Samuel Kwaku, 2022. "Interdependence structure of global commodity classes and African equity markets: A vector wavelet coherence analysis," Resources Policy, Elsevier, vol. 79(C).
    13. Yves Jégourel, 2018. "Tendances et cyclicité du prix des matières premières (partie 2) : le super-cycle des matières premières en question," Policy briefs on Commodities & Energy 1801, Policy Center for the New South.

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    Keywords

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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O55 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Africa
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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