This study explores the link between proximity and price cointegration between two markets, where proximity is captured with variables for geographical, political and cultural distance. Linear and threshold cointegration is tested for a set of 756 rice market pairs in 6 West African countries,...

Plummeting commodity prices, China's economic malaise, and global financial market turbulence have recently wreaked havoc on African economies. This paper investigates whether, and to what extent, these intertwined shocks spillover into the Tanzanian economy. The author finds that a 1 percentage...

We develop a simple model that highlights the costs and benefits of fixed exchange rates as they relate to trade, and show that negative export-price shocks reduce fiscal revenue and increase the likelihood of an expected currency devaluation. Using a new high-frequency data set on...

Amid the recent commodity price gyrations, policy makers have become increasingly concerned in assessing to what extent oil and food price shocks transmit to the inflationary outlook and the real economy. In this paper, we try to tackle this issue by means of a Global Vector Autoregressive...

This paper analyses the importance of common factors in shaping non-fuel commodity price movements for the period 1957-2008. For this purpose, a dynamic factor model is estimated using Kalman Filtering techniques. Based on this set-up we are able to separate common and idiosyncratic developments...

In this paper we analyse in a mark-up framework the pass-through of commodity price and exchange rate shocks to the main components of producer and consumer prices. Thereby we link movements in prices at the different production stages as firms set their prices as a mark-up over production...

In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...

Plummeting commodity prices, China's economic slowdown and rebalancing, and global financial market turbulence have recently raised concerns about their effects on African economies. This paper investigates whether, and to what extent, these intertwined shocks spillover into the Tanzanian...

This paper outlines the contours of a new research agenda for the analysis of food price crises. By weaving together a detailed quantitative examination of changes in corporate profit shares with a qualitative appraisal of the restructuring in business control over the organisation of society...