Global commodity cycles and linkages: a FAVAR approach

Lombardi, Marco; Osbat, Chiara; Schnatz, Bernd

doi:10.1007/s00181-011-0494-8

Cited by 73 publications

(41 citation statements)

References 27 publications

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“…45 This, in turn, may bear importance for the source of the propagation mechanism following a commodity price shock. Indeed, it would imply that government expenditure may be an important part of the channel through which the real effect propagates.…”

Section: The Role Of Fiscal Policy: a Discussionmentioning

confidence: 99%

Sharing a ride on the commodities roller coaster: Common factors in business cycles of emerging economies

Fernández

González

Rodríguez

2018

Journal of International Economics

144

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Inter-American Development Bank. This work is licensed under a Creative Commons IGO 3.0 AttributionNonCommercial-NoDerivatives (CC-IGO BY-NC-ND 3.0 IGO) license (http://creativecommons.org/licenses/by-nc-nd/3.0/igo/ legalcode) and may be reproduced with attribution to the IDB and for any non-commercial purpose, as provided below. No derivative work is allowed. Terms of use: Documents inAny dispute related to the use of the works of the IDB that cannot be settled amicably shall be submitted to arbitration pursuant to the UNCITRAL rules. The use of the IDB's name for any purpose other than for attribution, and the use of IDB's logo shall be subject to a separate written license agreement between the IDB and the user and is not authorized as part of this CC-IGO license.Following a peer review process, and with previous written consent by the Inter-American Development Bank (IDB), a revised version of this work may also be reproduced in any academic journal, including those indexed by the American Economic Association's EconLit, provided that the IDB is credited and that the author(s) receive no income from the publication. Therefore, the restriction to receive income from such publication shall only extend to the publication's author(s). With regard to such restriction, in case of any inconsistency between the Creative Commons IGO 3.0 Attribution-NonCommercial-NoDerivatives license and these statements, the latter shall prevail.Note that link provided above includes additional terms and conditions of the license.The opinions expressed in this publication are those of the authors and do not necessarily reflect the views of the Inter-American Development Bank, its Board of Directors, or the countries they represent.http://www.iadb.org 2015 Abstract * Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). This paper documents how these fluctuations correlate strongly with the business cycle in EMEs. A commodity sector is then embedded into a multi-country EMEs business cycle model where exogenous fluctuations in commodity prices follow a common dynamic factor structure and coexist with other driving forces. The estimated model assigns to commodity shocks 42 percent of the variance in income, of which a considerable part is linked to the common factor. A further amplification mechanism is a spillover effect from commodity prices to risk premia. JEL classifications: E32, F41, F44

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Section: The Role Of Fiscal Policy: a Discussionmentioning

confidence: 99%

Sharing a ride on the commodities roller coaster: Common factors in business cycles of emerging economies

Fernández

González

Rodríguez

2018

Journal of International Economics

144

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“…An increase of one percentage point in exchange rate decreases food availability by 2.1 per cent. The link between exchange rate changes and food availability is also shown by Headey and Fan (2008), Mitchell (2008), Lombardi et al (2010) and Algieri (2013). The result shows that, at the aggregate level, both supply-side and demand-side variables are important determinants of food availability in Ghana.…”

Section: Determinants Of Physical Availability Of Food: Aggregate Anamentioning

confidence: 73%

“…Vansteenkiste (2009), Byrne et al (2013) and Algieri (2013) fi nd support for a link between interest rate and agricultural commodity prices. Lombardi et al (2010), however, did not.…”

Section: Determinants Of Food Securitymentioning

confidence: 84%

“…Mercer-Blackman et al (2007), Headey and Fan (2008), Thomson et al (2009), Vansteenkiste (2009), Bafes and Haniotis (2010), Algieri (2013), Tang and Xiong (2013) and Tadese et al (2014) fi nd support for a link between oil price and food security. However, Lombardi et al (2010) did not fi nd a link between oil price and food security.…”

Section: Determinants Of Food Securitymentioning

confidence: 87%

“…Lower households' real income means less command over food. Kargbo (2000), Awokuse (2005), Kargbo (2005), Asfaha and Jooste (2007), Headey and Fan (2008), Mitchell (2008), Vansteenkiste (2009), Lombardi et al (2010), and Algieri (2013) show that rising exchange rate signifi cantly increases agricultural commodity prices. This was, however, not established by Akbari and Rankaduwa (2005).…”

Section: Determinants Of Food Securitymentioning

confidence: 99%

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Determinants of food availability and access in Ghana: what can we learn beyond the regression results?

Adom¹

2014

stagec

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The study analyses the determinants of food availability and access, and the causes of unsustainable food access in Ghana using three models. Regression results show that the effects of energy price, domestic and foreign interest rates, domestic prices and exchange rate on food availability are negative, while the effects of crop yield, arable land, liberalisation of agricultural trade and real income are positive. The analysis further shows the unique effects of energy price and human capital exceed their common effects. However, the common effects of domestic and foreign interest rates, infl ation, crop yield, arable land, exchange rate, liberalisation of agricultural trade and income exceed their unique effects. The access model shows that the effects of domestic interest rate, exchange rate and oil price are negative. The unique effect of oil price exceeds the variable's common effect. However, the common effects of exchange rate, interest rate and income exceed their unique effects. The stability model shows that good news and higher incomes enhance sustainable food access. However, higher oil price and depreciation of the local currency distort sustainable food access. The policy implication is that government should jointly target variables with higher common effects when addressing food access and availability. Withdrawal of government fuel subsidy will increase consumers' risk of accessing food and hence threaten the sustainability of food access.

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Forecasting India’s Inflation in a Data-Rich Environment: A FAVAR Study

Dua¹,

Goel²

2023

Macroeconometric Methods

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Global commodity cycles and linkages: a FAVAR approach

Cited by 73 publications

References 27 publications

Sharing a ride on the commodities roller coaster: Common factors in business cycles of emerging economies

Sharing a ride on the commodities roller coaster: Common factors in business cycles of emerging economies

Determinants of food availability and access in Ghana: what can we learn beyond the regression results?

Forecasting India’s Inflation in a Data-Rich Environment: A FAVAR Study

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