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The impact of the Euro area macroeconomy on energy and non-energy global commodity prices

Author

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

Abstract

The aim of the paper is the analysis of the links between the real and financial processes in the euro area and energy and non-energy commodity prices. Monthly data spanning from 1997:1 to 2013:12 and the structural VAR model are used to analyse the relations between global commodity prices and the euro area economy. The analysis is performed for three sub-periods in order to capture potential changes in these relations in time. The main finding of the study reveals that commodity prices in the euro area do not respond to impulses from production (the economic activity), while commodity prices strongly react to impulses from financial processes, that is, the interest rates in the euro area and the dollar exchange rate to the euro (especially in the period before the global financial crisis). The study also indicates tightening the relations between energy and non-energy commodity prices.

Suggested Citation

  • Papież, Monika & Śmiech, Sławomir & Dąbrowski, Marek A., 2014. "The impact of the Euro area macroeconomy on energy and non-energy global commodity prices," MPRA Paper 56663, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:56663
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    File URL: https://mpra.ub.uni-muenchen.de/56663/1/MPRA_paper_56663.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    commodity prices; real economy; financial market; SVAR;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • Q1 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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