World Commodity Prices and Economic Activity in Advanced and Emerging Economies

Jinan Liu and Apostolos Serletis
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Jinan Liu: University of Nebraska

Open Economies Review, 2022, vol. 33, issue 2, No 6, 347-374

Abstract: Abstract We investigate the volatility dynamics of commodity price and the dependence structure between commodity prices and output growth in the G7 and EM7 economies using a semiparametric GARCH-in-Mean copula approach. We show that for the G7 economies, a symmetric weak tail dependence exists between commodity prices and outputs in France, Germany, and Japan. For the EM7 economies, a lower tail dependence is observed between commodity prices and output growth in Brazil, and a symmetric weak tail dependence is observed in Indonesia. No statistically significant tail dependence between commodity prices and output growth is found for the rest of the G7 and EM7 economies.

Keywords: Copula; Dependence; GARCH-in-Mean model (search for similar items in EconPapers)
JEL-codes: C32 E37 O57 Q02 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11079-021-09632-8

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