- Author
- Papież Monika (Cracow University of Economics, Poland), Śmiech Sławomir (Cracow University of Economics, Poland), Dąbrowski Marek A. (Cracow University of Economics, Poland)
- Title
- The Impact of the Euro Area Macroeconomy on Global Commodity Prices
Wpływ makrogospodarki strefy euro na światowe ceny surowców - Source
- Argumenta Oeconomica Cracoviensia, 2016, no 14, s. 59-77, rys., tab., bibliogr. 26 poz.
- Keyword
- Ceny surowców, Rynki finansowe, Model wektorowej autoregresji
Raw materials prices, Financial markets, Vector Autoregression Model (VAR) - Note
- summ., streszcz.
Supported by grant No. 2012/07/B/HS4/00700 of the Polish National Science Centre - Abstract
- Celem artykułu jest zbadanie wzajemnych powiązań pomiędzy sferą realną i finansową gospodarki strefy euro a cenami surowców energetycznych i nieenergetycznych. Analizy oparto na danych miesięcznych obejmujących okres od stycznia 1997 r. do grudnia 2013 r., zaś wzajemne relacje zostały wyjaśnione za pomocą strukturalnego modelu wektorowej autoregresji SVAR. Analiza została przeprowadzona dla trzech podokresów, co miało umożliwić wykrycie potencjalnych zmian relacji. W wyniku badań ustalono, że ceny surowców nie reagowały na wstrząsy aktywności ekonomicznej, natomiast pozostawały pod silnym wpływem procesów finansowych, zwłaszcza w okresie poprzedzającym światowy kryzys finansowy. Badanie wykazało także, że umocniły się relacje pomiędzy cenami surowców energetycznych i nieenergetycznych. (abstrakt oryginalny)
The aim of this paper is to analyse the links between real and financial processes in the euro area and energy and non-energy commodity prices. Monthly data spanning 1997:1 to 2013:12 and the structural VAR model are used to uncover the relationship between global commodity prices and the euro area economy. The analysis is performed for three sub-periods in order to capture potential changes in this relationship over time. The main finding is that commodity prices in the euro area do not respond to impulses from production (economic activity), whereas commodity prices strongly react to impulses from financial processes, i.e. interest rates in the euro area and the exchange rate of the dollar against the euro, especially in the run-up to the global financial crisis. The study also provides evidence of a tightening relationship between energy and non-energy commodity prices. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Full text
- Show
- Bibliography
- Akram, Q. F. (2009) "Commodity Prices, Interest Rates and the Dollar". Energy Economics 31 (6): 838-51.
- Alquist, R., Kilian, L. and Vigfusson, R. J. (2011) "Forecasting the Price of Oil" in G. Elliott and A. Timmermann (eds) The Handbook of Economic Forecasting. Second edition. North-Holland, http://dx.doi.org/10.1016/B978-0-444-53683-9.00008-6.
- Arora, V. and Tanner, M. (2013) "Do Oil Prices Respond to Real Interest Rates?". Energy Economics 36: 546-55, http://dx.doi.org/10.1016/j.eneco.2012.11.001.
- Blanchard, O. J. and Quah, D. (1989) "The Dynamic Effects of Aggregate Demand and Supply Disturbances". American Economic Review 79 (4): 655-73.
- Breitung, J., Bruggemann, R. and Lutkepohl, H. (2004) "Structural Vector Autoregressive Modeling and Impulse Response" in H. Lutkepohl and M. Krätzig (eds) Applied Time Series Econometrics. Cambridge: Cambridge University Press, http://dx.doi.org/10.1017/CBO9780511606885.
- Davidson, P. (2008) "Crude Oil Prices: 'Market Fundamentals' or Speculation?". Challenge 51 (4): 110-18.
- Demirbas, A. (2011) "Competitive Liquid Biofuels from Biomass". Applied Energy 88 (1): 17-28, http://dx.doi.org/10.1016/j.apenergy.2010.07.016.
- Dickey, D. A. and Fuller, W. A. (1979) "Distribution of the Estimators for Autoregressive Time Series with a Unit Root". Journal of the American Statistical Association 74 (366a): 427-31, http://dx.doi.org/10.1080/01621459.1979.10482531.
- Frankel, J. A. (2008) "The Effect of Monetary Policy on Real Commodity Prices" in J. Y. Campbell (ed.) Asset Prices and Monetary Policy. Chicago: NBER, University of Chicago Press, pp. 291-333.
- Frankel, J. A. and Rose, A. K. (2010) "Determinants of Agricultural and Mineral Commodity Prices" in R. Fry, C. Jones and C. Kent (eds) Inflation in an Era of Relative Price Shocks. Sydney: Reserve Bank of Australia.
- Hamilton, J. D. (2009) "Causes and Consequences of the Oil Shock of 2007-2008". Brookings Papers on Economic Activity, pp. 215-61.
- Johansen, S. and Juselius, K. (1990) "Maximum Likelihood Estimation and Inference on Cointegration - with Applications to the Demand for Money". Oxford Bulletin of Economics and Statistics 52 (2): 169-210.
- Kaufmann, R. K. (2011) "The Role of Market Fundamentals and Speculation in Recent Price Changes for Crude Oil". Energy Policy 39 (1): 105-15, http://dx.doi.org/10.1016/j.enpol.2010.09.018.
- Kilian, L. (2008) "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the US Economy?". The Review of Economics and Statistics 90 (2): 216-40.
- Kilian, L. (2009a) "Comment on 'Causes and Consequences of the Oil Shock of 2007-08' by James D. Hamilton". Brookings Papers on Economic Activity, pp. 267-78.
- Kilian, L. (2009b) "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market". The American Economic Review 99: 1053-69, http://dx.doi.org/10.1257/aer.99.3.1053.
- Kilian, L. (2010) "Oil Price Shocks, Monetary Policy and Stagflation" in R. Fry, C. Jones and C. Kent (eds) Inflation in an Era of Relative Price Shocks. Sydney: Reserve Bank of Australia.
- Krugman, P. (2008) "Commodity Prices". The New York Times, 19 March.
- Lescaroux, F. (2009) "On the Excess Co-movement of Commodity Prices - A Note about the Role of Fundamental Factors in Short-run Dynamics". Energy Policy 37 (10): 3906-13, http://dx.doi.org/10.1016/j.enpol.2009.05.013.
- Parsons, J. E. (2010) "Black Gold and Fool's Gold: Speculation in the Oil Futures Market". Economia 10 (2): 81-116.
- Pindyck, R. S. and Rotemberg, J. J. (1990) "The Excess Co-movement of Commodity Prices". The Economic Journal 100: 1173-87.
- Sari, R., Hammoudeh, S. and Soytas, U. (2010) "Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate". Energy Economics 32 (2): 351-62, http://dx.doi.org/10.1016/j.eneco.2009.08.010.
- Sims, C.A. (1980) "Macroeconomics and Reality". Econometrica 48: 1-48.
- Svensson, L. E. O. (2008) "The Effect of Monetary Policy on Real Commodity Prices: Comment" in J. Y. Campbell (ed.) Asset Prices and Monetary Policy. Chicago: NBER, University of Chicago.
- Śmiech, S. and Papież, M. (2013) "Fossil Fuel Prices, Exchange Rate, and Stock Market: A Dynamic Causality Analysis on the European Market". Economics Letters 118 (1): 199-202, http://dx.doi.org/10.1016/j.econlet.2012.10.010.
- Śmiech, S., Papież, M. and Dąbrowski, M. A. (2014) "Energy and Non-energy Commodity Prices and the Eurozone Macroeconomy: A SVAR Approach" in M. Papież and S. Śmiech (eds) Proceedings of the 8th Professor Aleksander Zeliaś International Conference on Modelling and Forecasting of Socio-Economic Phenomena. Kraków: Foundation of the Cracow University of Economics, pp. 165-74.
- Cited by
- ISSN
- 1642-168X
- Language
- eng
- URI / DOI
- http://dx.doi.org/10.15678/AOC.2016.1403