DATING COMMON COMMODITY PRICE AND INFLATION SHOCKS WITH ALTERNATIVE APPROACHES

Roberto Esposti

No 469, Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: This paper investigates the occurrence of common price shocks (coexceedance) across different commodities. Instead of looking for a common Data Generating Process (DGP), the analysis considers two possible alternatives. The first looks for common volatility clusters trough individual GARCH models then detecting whether and when respective clusters overlap. The second alternative looks for a common Bubble Generating Process (BGP) by firstly looking for individual explosive roots and then dating them to identify the possible overlaps and early movers. Evidence emerging about these shocks' generating processes are linked to the analogous behaviour of the Consumer Price Index (CPI) to assess to what extent inflation shocks can be associated to the observed commodity price spikes. Results show that the detection of temporary bubbles and of volatility clusters only partially agrees on the episodes of exuberance, on the early-moving commodities and on the involvement of the CPI.

Keywords: Commodity Prices; Price Volatility; Explosive Roots (search for similar items in EconPapers)
JEL-codes: C32 Q11 (search for similar items in EconPapers)
Pages: 52
Date: 2022-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://docs.dises.univpm.it/web/quaderni/pdf/469.pdf First version, 2022 (application/pdf)

Related works:
Journal Article: Dating common commodity price and inflation shocks with alternative approaches (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:anc:wpaper:469

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