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Commodity price shocks and global cycles : monetary policy matters

Castelnuovo, Efrem; Mori, Lorenzo; Peersman, Gert - 2024

We employ a structural VAR model with global and US variables to study the relevance and transmission of oil, food commodities, and industrial input price shocks. We show that commodities are not all alike. Industrial input price changes are almost entirely endogenous responses to other shocks....

Persistent link: https://www.econbiz.de/10014550949

Price transmission and policies in biofuels-related global networks

Janda, Karel; Krištoufek, Ladislav; Schererova, Barbora; … - 2022

. Our analysis of mutual price connections discovers the major defining features of world leading biofuels markets during …

Persistent link: https://www.econbiz.de/10013168984

Commodities and International Business Cycles

Kim, Myunghyun - 2018

standard model. In particular, the output correlation between the two countries increases and the consumption correlation falls … compared to the standard model. Notably, unlike standard models, this model yields an output correlation that exceeds the … consumption correlation, which mitigates the “quantity anomaly” that was previously noted in the literature. Commodity consumption …

Persistent link: https://www.econbiz.de/10012906281

Modeling Fluctuations in the Global Demand for Commodities

Kilian, Lutz - 2018

It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic...

Persistent link: https://www.econbiz.de/10012930077

Modeling fluctuations in the global demand for commodities

Kilian, Lutz; Zhou, Xiaoqing - 2017

Persistent link: https://www.econbiz.de/10011754229

Modeling fluctuations in the global demand for commodities

Kilian, Lutz; Zhou, Xiaoqing - 2018

Persistent link: https://www.econbiz.de/10011781690

The impact of macroprudential policies on capital flows in CESEE

Eller, Markus; Hauzenberger, Niko; Huber, Florian; … - 2021

In line with the recent policy discussion on the use of macroprudential measures to respond to crossborder risks arising from capital flows, this paper tries to quantify to what extent macroprudential policies (MPPs) have been able to stabilize capital flows in Central, Eastern and Southeastern...

Persistent link: https://www.econbiz.de/10012510734

Global Financial Cycles Since 1880

Potjagailo, Galina - 2020

With the aim to provide a detailed understanding of global financial cycles and their relevance over time, we analyse co-movement in credit, house prices, equity prices, and interest rates across 17 advanced economies over 130 years. Using a time-varying dynamic factor model, we observe global...

Persistent link: https://www.econbiz.de/10012832636

Global financial cycles since 1880

Potjagailo, Galina; Wolters, Maik H. - 2019

We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...

Persistent link: https://www.econbiz.de/10011987786

How important are global factors for understanding the dynamics of international capital flows?

Eller, Markus; Huber, Florian; Schuberth, Helene - 2018

We propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship between global factors and country-specific capital flow dynamics. Studying a global sample of 43 countries from 1994 until 2015, we show that global co-movement of macroeconomic,...

Persistent link: https://www.econbiz.de/10011929696