Propagation of Commodity Market Shocks

Annalisa Marini and Steve McCorriston
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Steve McCorriston: Department of Economics, University of Exeter

No 1708, Discussion Papers from University of Exeter, Department of Economics

Abstract: We address the transmission of commodity price shocks and assess how source-specific shocks spillover to other exporting countries.Applying a multi-country panel VAR, we show that a model that allows for cross-country interdependencies is an appropriate specification of commodity markets. Source-specific shocks therefore have both direct and spillover effects and the results indicate that these spillover effects are both statistically and economically significant. Accounting for these spillover effects has important implications for understanding commodity price dynamics and the management of price shocks in both exporting and importing countries.

Keywords: PVAR; Commodity Price Transmission; Spillovers (search for similar items in EconPapers)
JEL-codes: C3 C5 F00 Q1 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-int
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https://exetereconomics.github.io/RePEc/dpapers/DP1708.pdf (application/pdf)

Related works:
Working Paper: Price Transmission in Commodity Networks (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:exe:wpaper:1708

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