Commodity price cycles and financial pressures in African commodities exporters

Akassi Kablan, Zied Ftiti () and Khaled Guesmi

Emerging Markets Review, 2017, vol. 30, issue C, 215-231

Abstract: In this study, we examine the interdependence between the credit and commodity price cycles among African commodity exporters. Specifically, we use an evolutionary co-spectral analysis that sets a time-varying dynamic correlation measure. Results of our analyses suggest that persistent commodity price shocks exert a greater impact on real economy than transitory fluctuations. Similar patterns can be derived for different types of commodities. During downswings, coherence is high for beverages and agricultural raw materials. In contrast, coherence for metals and oil is high during upswings. Periods of high coherence correspond to periods of financial pressure. As such, they can serve as indicators for impending financial crises.

Keywords: Commodity price cycle; Credit cycle; African commodity exporters; Co-spectral analysis (search for similar items in EconPapers)
JEL-codes: C14 C22 G15 O55 Q43 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:30:y:2017:i:c:p:215-231

DOI: 10.1016/j.ememar.2016.05.005

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