The Commodity Prices Shocks on Economic Activity in the Presence of a Trading Relationship: A Global VAR Analysis


Gündüz H. İ.

in: Current Methods and Applications in Econometrics (In Honour of Prof. Dr. Ahmet M. Gökçen), Prof. Dr. Nilgün ÇİL, Editor, ISTANBUL UNIVERSITY PRESS, İstanbul, pp.52-71, 2021

  • Publication Type: Book Chapter / Chapter Research Book
  • Publication Date: 2021
  • Publisher: ISTANBUL UNIVERSITY PRESS
  • City: İstanbul
  • Page Numbers: pp.52-71
  • Editors: Prof. Dr. Nilgün ÇİL, Editor

Abstract

Abstract

This article uses the global vector autoregression (GVAR) approach to investigate commodity price shocks and monetary shocks. The study's focus is on commodity price shocks that affect both the total price level and variables related to monetary policy, such as short-term interest rates. In this paper, we address this issue using a framework comprises 26 country/region-specific models, estimated over the period 1979Q2-2016Q4, with the Euro area considered a single economy. We contribute to the energy-macroeconomics literature by using exogenous variations in energy and non-fuel commodity prices events over time and its effects on different regions to causally identify the effects of energy and non-fuel commodity prices shocks (directly and total) on key macro-economic variables such as growth, inflation, and significant macroeconomic variables. It is seen that there are significant heterogeneities in the reactions of different countries against energy prices shocks. Australia, New Zealand, Switzerland, the United Kingdom face a short-term drop-in economic activity in response to the UK oil price shock, while it has a growth-enhancing effect for other countries (including Turkey, united states and the Eurozone). The results show that commodity price shocks such as oil and metal have a huge impact on the real economy, with metal prices having a greater quantitative impact on output compared to oil prices. Given these findings, macro-economic policies should take into account the changes and effects of energy and non-fuel commodity prices.

Keywords: Oil and non-fuel commodity prices shocks, Global macro-econometric modelling, International business cycle

JEL Classification: C32, F44, O13, Q54

Özet

Bu makalede, küresel bir vektör otoregresyon (GVAR) yaklaşımı kullanarak emtia fiyat şoklarının ve parasal şokların etkisi araştırılmaktadır. Hem doğrudan toplam fiyat seviyesinde hem de kısa vadeli faiz oranları gibi para politikasıyla ilgili araçlar aracılığıyla etkileyen emtia fiyat şoklarına odaklanmaktayız. Euro Bölgesi tek bir ekonomi olarak değerlendirilmekte iken Global var (GVAR) modeli, 1979-2016 döneminde 26 ülke için tahmin edilmektedir. Sonuçlar, petrol ve metal gibi emtia fiyat şoklarının reel ekonomi üzerinde büyük bir etkiye sahip olduğunu ve metal fiyatlarının petrol fiyatlarına kıyasla çıktı üzerinde daha büyük bir nicel etkiye sahip olduğunu göstermektedir.

Anahtar Kelimeler: Petrol ve yakıt dışı emtia fiyat şokları, küresel makro ekonometrik modelleme, Uluslararası işletme döngüsü

JEL Sınıflandırması: C32, F44, O13, Q54