Journal article
Effects of U.S. Macroeconomic Shocks on International Commodity Prices: Emphasis on Price and Exchange Rate Pass-through Effects
한국환경경제학회 경제학 공동학술대회논문집, Vol.2012, p1
21 Feb 2012
Abstract
Using a structural VAR with block exogeneity, diagonality and identifying restrictions, this paper analyzes: first, the macroeconomic linkages among the oil price, U.S. output, interest rate, money supply, general price level and exchange rate; and second, the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity groups. By assuming the block exogeneity of U.S. macroeconomic variables with respect to the international nonfuel commodity prices, the paper discusses how exogenous oil/macroeconomic shocks affect the international commodity prices. It finally explores which oil/macroeconomic shocks are important in explaining the variations in international commodity prices. The results show that the sources of major fluctuations in the international commodities differ greatly by commodity. Soft and hard commodity prices such as those of ‘seafood’, ‘industrial metals’, and ‘gold’ seem to be strongly affected by the financial factor. Moreover, for some commodities, price fluctuations are more affected by the financial factor than by the real factor, supporting the view of “financialization” of commodities. Those commodities include ‘vegetable oils and protein meals’, ‘meat’, ‘seafood’, and ‘industrial metals’. The financial factor is also an important source of fluctuations in the oil prices. Oil price shocks have effects on the volatilities of interest rates, money supply, and general price level instantly, as well as on the exchange rate instead of the general price two years after the shock. Over the whole forecasting horizon, the degree of exchange rate pass-through is low on the general price level but is positive and high on oil and nonfuel international commodity prices.
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Details
- Title
- Effects of U.S. Macroeconomic Shocks on International Commodity Prices: Emphasis on Price and Exchange Rate Pass-through Effects
- Creators
- Won Joong KimShawkat HammoudehKyongwook Choi
- Publication Details
- 한국환경경제학회 경제학 공동학술대회논문집, Vol.2012, p1
- Publisher
- 한국환경경제학회·한국자원경제학회(구 한국환경경제학회)
- Number of pages
- 43
- Resource Type
- Journal article
- Language
- Korean
- Academic Unit
- Economics (School of Economics)
- Identifiers
- 991019189189804721