Commodity prices volatility and macroeconomic performance: testing for a commodity-exporting country

Ricardo Ramalhete Moreira

International Journal of Computational Economics and Econometrics, 2016, vol. 6, issue 4, 379-389

Abstract: This paper analysed the influence of commodity prices volatility on Brazil's gross domestic product (GDP), thereby contributing to the literature on commodity-exporting countries. Two methods to test for cointegration were used: the conventional Johansen's (1991) procedure and the Pesaran et al.'s (2001) auto regressive distributed lag (ARDL) bounds testing approach. By covering the monthly period from January 2005 to May 2013, the estimates robustly indicated that an increase of such volatility is followed by lower GDP levels. Some stylised facts regarding commodity prices were also tested in this paper.

Keywords: commodity prices; commodity price volatility; gross domestic product; GDP; commodity exports; cointegration; Brazil; macroeconomic performance. (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcome:v:6:y:2016:i:4:p:379-389

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