Commodity price cycles and financial pressures in African commodities exporters

Cycles de prix des matières premières et tensions financières dans les pays exportateurs de matières premières

Akassi Kablan, Zied Ftiti and Khaled Guesmi
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Zied Ftiti: EDC - EDC Paris Business School
Khaled Guesmi: EDC - EDC Paris Business School

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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)
Date: 2017-03
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Citations: View citations in EconPapers (4)

Published in Emerging Markets Review, 2017, 30, pp.215-231. ⟨10.1016/j.ememar.2016.05.005⟩

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Journal Article: Commodity price cycles and financial pressures in African commodities exporters (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04281443

DOI: 10.1016/j.ememar.2016.05.005

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