خلاصة:
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.
ملخص الجهاز:
"S. Macroeconomic Shocks on International Commodity Prices: Emphasis on Price and Exchange Rate Pass-through Effects Won Joong Kim Department of Economics, Kangwon National University, South Korea Shawkat Hammoudeh Department of Economics, Drexel University, USA Kyongwook Choi Corresponding author, University of Seoul, South Korea 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.
Cologni and Manera (2008) constructed a six-variable cointegrated VAR (oil price, exchange rate, consumer price index, GDP, interest rate and money supply) for the G-7 countries and identified the structural shocks by imposing both short-run restrictions and long-run restrictions (linear restrictions on cointegrating vectors).
S. interest rate, money supply, CPI, industrial production, commodity price index, and oil price and by imposing a short-run identifying restrictions, they measured the effect of U.
Therefore, in this paper we let the data determine the long-run effects of the oil/macroeconomic shocks on the ten international nonfuel commodity prices.
We created index data for eight out of the ten international nonfuel commodity group price indices, namely, cereal, vegetable oil and protein meal, meat, seafood, sugar, beverage, agricultural raw material and industrial metal by sourcing the series and their weighs from the IMF.
S. macroeconomic variables, including output, interest rate, money supply, general price level and exchange rate, are endogenously related, and how the exogenous macro shocks affect other macro variables."