Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach
Sławomir Śmiech (),
Monika Papież () and
Marek Dąbrowski ()
International Review of Economics & Finance, 2015, vol. 39, issue C, 485-503
This paper investigates the effects of real and financial processes in the euro area macroeconomy on energy and non-energy commodity prices. The relations implied by the proposed theoretical model are examined within the structural VAR framework for three sub-periods. Our main finding is that, although global commodity prices are indeed related to real and financial processes in the euro area macroeconomy, the relations among them are not stable over time. Energy prices and interest rates depart from real processes in the pre-crisis period, whereas the relative importance of real and financial factors changes for non-energy commodity price index.
Keywords: Commodity prices; Real economy; Financial market; Euro area; SVAR (search for similar items in EconPapers)
JEL-codes: E44 C3 E37 E47 Q17 Q43 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:39:y:2015:i:c:p:485-503
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