The Interdependence between Commodity-Price and GDP Cycles: A Frequency-Domain Approach
Jair Ojeda-Joya,
Oscar Jaulin-Mendez and
Juan Bustos-Pelaez
MPRA Paper from University Library of Munich, Germany
Abstract:
We study the interdependence between aggregate commodity prices and world Gross Domestic Product (GDP) by performing two empirical exercises with long-run data that starts in the 19th Century. First, we compute long-term and medium-term cycles and measure their degree of synchronization for different leads and lags. Second, we perform causality tests on the frequency domain to understand better the nature of their interdependence. Our results show first, evidence of cycle synchronization only in the case of super cycles. Second, there is causality evidence from GDP to aggregate commodity prices mostly on long-run frequencies; therefore, commodity-price trends and super-cycles are demand driven. Third, there is some causality evidence between oil-prices and GDP on both causation directions. However, oil price fluctuations cause GDP on business-cycle frequencies only. Finally, in the case of metal prices, the evidence is unclear for both causality directions implying that they are not demand driven. Overall, our results show that the interdependence between commodity prices and GDP varies significantly across types of goods and fluctuation frequencies.
Keywords: medium-term cycles; commodity prices; frequency domain; super cycles (search for similar items in EconPapers)
JEL-codes: C22 E32 Q02 (search for similar items in EconPapers)
Date: 2015-11-15, Revised 2018-11-29
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https://mpra.ub.uni-muenchen.de/90403/1/MPRA_paper_90403.pdf original version (application/pdf)
Related works:
Journal Article: The Interdependence Between Commodity-Price and GDP Cycles: A Frequency-Domain Approach (2019) 
Working Paper: The Interdependence between Commodity-Price and GDP Cycles: A Frequency Domain Approach (2015) 
Working Paper: The Interdependence between Commodity-Price and GDP Cycles: A Frequency Domain Approach (2015) 
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:90403
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