Long Run Macroeconomic Relations in the Global Economy

Dées, Stéphane; Holly, Sean; Pesaran, M. Hashem; Smith, L. Vanessa

doi:10.5018/economics-ejournal.ja.2007-3

Cited by 92 publications

(100 citation statements)

References 30 publications

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“…We proceed with the FEVD based on the generalized VAR as proposed by Pesaran and Shin (1998) and further developed by Dees et al (2007) and Diebold and Yilmaz (2012), which does not require specific ordering and it is thus robust to errors due to incorrect ordering 5 .…”

Section: Replication Resultsmentioning

confidence: 99%

Food versus fuel: An updated and expanded evidence

et al. 2019

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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. What do prices tell us?" Energy Policy 38, pp. 445-451. We confirm the findings of the original paper that there was only a weak relationship between ethanol and food commodities in the period between March 1989 and July 2008. In addition, we extend that study and examine the cointegration relationship between biofuels and related commodities for a considerably enlarged dataset (3 vs. 1 market, 26 vs. 8 commodities, analysis up till 2017 vs. 2008, weekly vs. monthly data frequency). Focusing on the biofuel markets of Brazil, the EU and the USA in the three separate periods before, during, and after the food crisis of 2007 and 2008, we show that studying the time variation of the relationships plays an essential role in their proper understanding. Our results help to clarify the wide extensive discussion about the role of biofuels prices in food shortages manifested particularly during the food crises. In agreement with the original study, we confirm that price series data do not support strong statements about biofuels uniformly serving as main leading source of high food prices and consequently the food shortages. Terms of use: Documents in

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Section: Replication Resultsmentioning

confidence: 99%

Food versus fuel: An updated and expanded evidence

et al. 2019

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“…as a weighted average of this variable in all other areas. We follow Pesaran et al (2004), Dees et al (2007a) and Dees et al (2007b) to define the weighting matrixes. In particular, we use time-varying trade weights based on import and export shares.…”

Section: Appendix C: Constructing Global Variablesmentioning

confidence: 99%

“…In particular, we have followed the GVAR literature (see e.g. Pesaran et al (2004), Dees et al (2007a) and Dees et al (2007b)) and used time-varying trade weights. This entails that the exposure of a given country to other countries at a particular point in time depends on trade exposures (details are described in Appendix C).…”

Section: Credit To Households Vs Non-financial Enterprisesmentioning

confidence: 99%

“…Inspired by the GVAR literature (see e.g. Pesaran et al (2004), Dees et al (2007a) and Dees et al (2007b)), the global variables are constructed using time-varying trade weights. Our results demonstrate that global developments in house prices were of great importance in the build-up to the recent global financial crisis, while it had less influence prior to earlier crisis episodes.…”

Section: Introductionmentioning

confidence: 99%

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Bubbles and Crises: The Role of House Prices and Credit

Anundsen

Gerdrup²,

Hansen³

et al. 2014

SSRN Journal

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“…In order to choose the lag order of the foreign speci…c variables, q i , an unrestricted VAR was run for each country/region in which the foreign variables are treated as endogenous, obtaining similar results. 11 Basing on this evidence and considering data limitations, we set q i equal to one in all models.…”

Section: Generalised Forecast Error Variance Decompositionmentioning

confidence: 99%

The contribution of domestic, regional and international factors to Latin America's business cycle

Boschi

Girardi

2011

Economic Modelling

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This paper quanti…es the relative contribution of domestic, regional and international factors to the ‡uctuation of domestic output in six key Latin American (LA) countries: Argentina, Bolivia, Brazil, Chile, Mexico and Peru. Using quarterly data over the period 1980:1-2003:4, a multi-variate, multicountry time series model was estimated to study the economic interdependence among LA countries and, in addition, between each of them and the three world largest industrial economies: the US, the Euro Area and Japan. Falsifying a common suspicion, it is shown that the proportion of LA countries' domestic output variability explained by industrial countries' factors is modest. By contrast, domestic and regional factors account for the main share of output variability at all simulation horizons. The implications for the choice of the exchange rate regime are also discussed.

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Long Run Macroeconomic Relations in the Global Economy

Abstract: dx.doi.org/10.5018/economics-ejournal.ja.2007-3 This Version is available at

Cited by 92 publications

References 30 publications

Food versus fuel: An updated and expanded evidence

Food versus fuel: An updated and expanded evidence

Bubbles and Crises: The Role of House Prices and Credit

The contribution of domestic, regional and international factors to Latin America's business cycle

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