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OECD Economic Activity and Non-Oil Commodity Prices: Reduced-Form Equations for INTERLINK

Author

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  • Gerald Holtham

    (OECD)

  • Martine Durand

    (OECD)

Abstract

This paper gives an overview of the determination of non-oil commodity prices in the Economics and Statistics Department's INTERLINK world model. The practical problems which have been encountered, in particular in the context of full simulations are discussed. Based on a number of statistical tests, a new specification of the commodity price block is proposed. Indices of nominal commodity prices measured in dollars are estimated as functions of OECD economic activity and inflation, U.S. interest rates and oil prices. Compared to the previous system, the new equations are better behaved in a number of respects ... Cet article rappelle comment les prix des produits de base sont déterminés dans le modèle INTERLINK du Département des Affaires Economiques et Statistiques de l'OCDE et analyse les difficultés rencontrées, en particulier dans le cadre de simulations de chocs exogènes. A cet égard, après la conduite de plusieurs tests statistiques, une nouvelle spécification du bloc des prix produits de base est proposée: les indices de prix nominaux mesurés en dollars sont exprimés en fonction d'une part de la croissance et de l'inflation de la zone OCDE, et d'autre part du taux d'intérêt américain et du prix du pétrole. A divers égards le système d'équations ainsi éstimé est plus satisfaisant que le précedent ...

Suggested Citation

  • Gerald Holtham & Martine Durand, 1987. "OECD Economic Activity and Non-Oil Commodity Prices: Reduced-Form Equations for INTERLINK," OECD Economics Department Working Papers 42, OECD Publishing.
    • Handle: RePEc:oec:ecoaaa:42-en
    DOI: 10.1787/385873764137
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