Price Transmission in Commodity Networks

Annalisa Marini and Steve McCorriston
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Steve McCorriston: University of Exeter

No 1903, 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 in a model that allows for cross-country interdependencies source- specific shocks have both direct and spillover effects. The results indicate that these spillover effects are an important feature of commodity price transmission. 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: 2019
New Economics Papers: this item is included in nep-int
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https://exetereconomics.github.io/RePEc/dpapers/DP1903.pdf (application/pdf)

Related works:
Working Paper: Propagation of Commodity Market Shocks (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:exe:wpaper:1903

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