Economic performance and natural resources commodity prices volatility: Evidence from global data

Yang Yating, Nafeesa Mughal, Jun Wen, Truong Thi Ngan, Edwin Ramirez-Asis and Apichit Maneengam

Resources Policy, 2022, vol. 78, issue C

Abstract: The current research study aims to investigate natural resources, commodity prices volatility and global economic performance covering the period from 1970 to 2021. This study uses various variables, i.e., total natural resources volatility (TNR), crude oil price (CR), oil rents (OR), and natural gas rents (NGR), to measure natural resources price volatility. This study uses the wavelet approach for empirical investigation of causal association in the short and long run. The empirical estimations of the wavelet power spectrum reveal that all the variables are vulnerable, specifically in global crisis events. Besides, the wavelet coherence approach indicates a bidirectional causal association exists between natural resources commodity price volatility (TNR, OR, NGR) and global economic performance. However, the causal impact of natural resources price volatility is found only in the short-run, while economic performance significantly causes volatility in natural resources price in the long run. Moreover, the wavelet coherence authenticates unidirectional causal association running from global economic performance to CR in both the short-run and long-run. This study provides some policy insights which could have essential economic and natural resources price volatility control measures for policy-makers and future researchers.

Keywords: Global economic performance; Natural resources commodity price volatility; Crude oil; Wavelet power spectrum; Wavelet coherence (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003245

DOI: 10.1016/j.resourpol.2022.102879

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