The importance of principal components in studying mineral prices using vector autoregressive models: Evidence from the Brazilian economy
Author
Abstract
Suggested Citation
DOI: 10.1016/j.resourpol.2019.03.001
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen, 2003.
"Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(1), pages 91-115, February.
- Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2001. "Test procedures for unit roots in time series with level shifts at unknown time," SFB 373 Discussion Papers 2001,39, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Eric R. Sims, 2012.
"News, Non-Invertibility, and Structural VARs,"
Advances in Econometrics, in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, pages 81-135,
Emerald Group Publishing Limited.
- Eric R. Sims, 2012. "News, Non-Invertibility, and Structural VARs," Working Papers 013, University of Notre Dame, Department of Economics, revised Jun 2012.
- Dash, Devi Prasad & Sethi, Narayan & Bal, Debi Prasad, 2018. "Is the demand for crude oil inelastic for India? Evidence from structural VAR analysis," Energy Policy, Elsevier, vol. 118(C), pages 552-558.
- Bahmani-Oskooee, Mohsen & Harvey, Hanafiah & Hegerty, Scott W., 2013. "The effects of exchange-rate volatility on commodity trade between the U.S. and Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 70-93.
- Morita, Tamaki & Higashida, Keisaku & Takarada, Yasuhiro & Managi, Shunsuke, 2018. "Does acquisition of mineral resources by firms in resource-importing countries reduce resource prices?," Resources Policy, Elsevier, vol. 58(C), pages 97-110.
- Aharon, David Y. & Qadan, Mahmoud, 2018. "What drives the demand for information in the commodity market?," Resources Policy, Elsevier, vol. 59(C), pages 532-543.
- Souza, Sergio R.S. & Tabak, Benjamin M. & Cajueiro, Daniel O., 2006.
"Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
- Sergio Rubens Stancato de Souza & Benjamin Miranda Tabak & Daniel O. Cajueiro, 2006. "Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil," Working Papers Series 113, Central Bank of Brazil, Research Department.
- de Senna, Viviane & Souza, Adriano Mendonça, 2016. "Assessment of the relationship of government spending on social assistance programs with Brazilian macroeconomic variables," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 21-30.
- von Arnim, Rudiger & Tröster, Bernhard & Staritz, Cornelia & Raza, Werner, 2018. "Commodity price shocks and the distribution of income in commodity-dependent least-developed countries," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 434-451.
- Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2016. "Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 277-285.
- Nader Naifar, 2018. "Exploring the Dynamic Links between GCC Sukuk and Commodity Market Volatility," IJFS, MDPI, vol. 6(3), pages 1-18, August.
- Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, vol. 122(1), pages 137-183, September.
- Janaina Gabrielle Moreira Campos da Cunha Amarante & Tatiana Marceda Bach & Wesley Vieira da Silva & Daniela Matiollo & Alceu Souza & Claudimar Pereira da Veiga, 2018. "Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil," Cogent Business & Management, Taylor & Francis Journals, vol. 5(1), pages 1457861-145, January.
- Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
- Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen, 2002.
"Comparison of unit root tests for time series with level shifts,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 23(6), pages 667-685, November.
- Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 1999. "Comparison of unit root tests for time series with level shifts," SFB 373 Discussion Papers 1999,88, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2002. "Comparison of Unit Root Tests for Time Series with Level Shifts," MPRA Paper 76035, University Library of Munich, Germany.
- Gonçalves, Walter & Eid, William, 2017. "Sophistication and price impact of foreign investors in the Brazilian stock market," Emerging Markets Review, Elsevier, vol. 33(C), pages 102-139.
- World Bank Group, 2016. "Commodity Markets Outlook, January 2016," World Bank Publications, The World Bank, number 23680.
- Hegerty, Scott W., 2016. "Commodity-price volatility and macroeconomic spillovers: Evidence from nine emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 23-37.
- Xiarchos, Irene M. & Burnett, J. Wesley, 2018. "Dynamic Volatility Spillovers Between Agricultural And Energy Commodities," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 50(3), pages 291-318, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Galán-Gutiérrez, Juan Antonio & Martín-García, Rodrigo, 2021. "Cointegration between the structure of copper futures prices and Brexit," Resources Policy, Elsevier, vol. 71(C).
- Cristiano Ziegler & Renan Mitsuo Ueda & Tiago Sinigaglia & Felipe Kreimeier & Adriano Mendonça Souza, 2022. "Correlation of Climatic Factors with the Weight of an Apis mellifera Beehive," Sustainability, MDPI, vol. 14(9), pages 1-13, April.
- Juan Antonio Galán-Gutiérrez & Rodrigo Martín-García, 2022. "Fundamentals vs. Financialization during Extreme Events: From Backwardation to Contango, a Copper Market Analysis during the COVID-19 Pandemic," Mathematics, MDPI, vol. 10(4), pages 1-23, February.
- Shi, Tao & Li, Chongyang & Zhang, Wei & Zhang, Yi, 2023. "Forecasting on metal resource spot settlement price: New evidence from the machine learning model," Resources Policy, Elsevier, vol. 81(C).
- Yongwei, Cheng & Dong, Mu & Huanyu, Ren & Tijun, Fan & Jianbang, Du, 2020. "Using a temporal input-output approach to analyze the ripple effect of China’s energy consumption," Energy, Elsevier, vol. 211(C).
- Ueda, Renan Mitsuo & Souza, Adriano Mendonça & Menezes, Rui Manuel Campilho Pereira, 2020. "How macroeconomic variables affect admission and dismissal in the Brazilian electro-electronic sector: A VAR-based model and cluster analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
- Monica Lopes-Ferreira & Adolfo Luis Almeida Maleski & Leticia Balan-Lima & Jefferson Thiago Gonçalves Bernardo & Lucas Marques Hipolito & Ana Carolina Seni-Silva & Joao Batista-Filho & Maria Alice Pim, 2022. "Impact of Pesticides on Human Health in the Last Six Years in Brazil," IJERPH, MDPI, vol. 19(6), pages 1-19, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Changli He & Rickard Sandberg, 2006. "Dickey–Fuller Type of Tests against Nonlinear Dynamic Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 835-861, December.
- Morana, Claudio, 2024.
"A new macro-financial condition index for the euro area,"
Econometrics and Statistics, Elsevier, vol. 29(C), pages 64-87.
- Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Papers 467, University of Milano-Bicocca, Department of Economics, revised Sep 2021.
- Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Paper series 21-07, Rimini Centre for Economic Analysis, revised Sep 2021.
- Boschi, Melisso & Girardi, Alessandro, 2011.
"The contribution of domestic, regional and international factors to Latin America's business cycle,"
Economic Modelling, Elsevier, vol. 28(3), pages 1235-1246, May.
- Melisso Boschi & Alessandro Girardi, 2008. "The contribution of domestic, regional, and international factors to Latin America’s business cycle," ISAE Working Papers 105, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Melisso Boschi & Alessandro Girardi, 2008. "The Contribution Of Domestic, Regional And International Factors To Latin America'S Business Cycle," CAMA Working Papers 2008-33, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Boschi, Melisso & Girardi, Alessandro, 2009. "The contribution of domestic, regional and international factors to Latin America's business cycle," MPRA Paper 28147, University Library of Munich, Germany.
- Chan, Tze-Haw & Baharumshah, Ahmad Zubaidi, 2012. "Financial Integration between China and Asia Pacific Trading Partners: Parities Evidence from the First- and Second-generation Panel Tests," MPRA Paper 37801, University Library of Munich, Germany.
- Yin-Wong Cheung & Risto Herrala, 2014.
"China's Capital Controls: Through the Prism of Covered Interest Differentials,"
Pacific Economic Review, Wiley Blackwell, vol. 19(1), pages 112-134, February.
- Yin-Wong Cheung & Risto Herrala, 2013. "China's Capital Controls - Through the Prism of Covered Interest Differentials," CESifo Working Paper Series 4377, CESifo.
- Cheung, Yin-Wong & Herrala, Risto, 2013. "China's capital controls : Through the prism of covered interest differentials," BOFIT Discussion Papers 22/2013, Bank of Finland, Institute for Economies in Transition.
- Yin-Wong Cheung & Risto Herrala, 2013. "China's Capital Controls - Through the Prism of Covered Interest Differentials," Working Papers 142013, Hong Kong Institute for Monetary Research.
- Guhathakurta, Kousik & Dash, Saumya Ranjan & Maitra, Debasish, 2020. "Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications," Energy Economics, Elsevier, vol. 85(C).
- Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen, 2003.
"Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(1), pages 91-115, February.
- Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2001. "Test procedures for unit roots in time series with level shifts at unknown time," SFB 373 Discussion Papers 2001,39, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Paleologou, Suzanna-Maria, 2013. "Asymmetries in the revenue–expenditure nexus: A tale of three countries," Economic Modelling, Elsevier, vol. 30(C), pages 52-60.
- Guglielmo Caporale & Luca Onorante & Paolo Paesani, 2012.
"Inflation and inflation uncertainty in the euro area,"
Empirical Economics, Springer, vol. 43(2), pages 597-615, October.
- Guglielmo Maria Caporale & Luca Onorante & Paolo Paesani, 2009. "Inflation and Inflation Uncertainty in the Euro Area," Discussion Papers of DIW Berlin 909, DIW Berlin, German Institute for Economic Research.
- Caporale, Guglielmo Maria & Onorante, Luca & Paesani, Paolo, 2010. "Inflation and inflation uncertainty in the euro area," Working Paper Series 1229, European Central Bank.
- Luca ONORANTE & Guglielmo MARIA CAPORALE & Paolo PAESANI, 2010. "Inflation and Inflation Uncertainty in the Euro Area," EcoMod2010 259600126, EcoMod.
- Guglielmo Maria Caporale & Luca Onorante & Paolo Paesani, 2009. "Inflation and Inflation Uncertainty in the Euro Area," CESifo Working Paper Series 2720, CESifo.
- Koi Nyen Wong & Tuck Cheong Tang, 2009.
"Exchange rate variability and the export demand for Malaysia's semiconductors: an empirical study,"
Applied Economics, Taylor & Francis Journals, vol. 43(6), pages 695-706.
- Koi Nyen Wong & Tuck Cheong Tang, 2007. "Exchange Rate Variability And The Export Demand For Malaysia'S Semiconductors: An Empirical Study," Monash Economics Working Papers 13-07, Monash University, Department of Economics.
- António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2009.
"Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM,"
GEMF Working Papers
2009-15, GEMF, Faculty of Economics, University of Coimbra.
- António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012. "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," EcoMod2012 3720, EcoMod.
- Kauko, Karlo, 2010.
"The feasibility of through-the-cycle ratings,"
Bank of Finland Research Discussion Papers
14/2010, Bank of Finland.
- Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Research Discussion Papers 14/2010, Bank of Finland.
- Coskun, Yener & Seven, Unal, 2016. "Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi (Book Chapter) [Efficient Market Hypothesis and Weak Form Efficiency Analysis of Borsa Istanbul (Book Chapter)]," MPRA Paper 80263, University Library of Munich, Germany.
- King Fuei Lee, 2010.
"An Empirical Study of Dividend Payout and Future Earnings in Singapore,"
Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 267-286.
- Lee, King Fuei, 2010. "An Empirical Study of Dividend Payout and Future Earnings in Singapore," MPRA Paper 23067, University Library of Munich, Germany.
- BAAK, SaangJoon, 2008. "The bilateral real exchange rates and trade between China and the U.S," China Economic Review, Elsevier, vol. 19(2), pages 117-127, June.
- Claudio Morana, 2022.
"Euro area inflation and a new measure of core inflation,"
Working Papers
505, University of Milano-Bicocca, Department of Economics, revised Oct 2023.
- Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Paper series 22-14, Rimini Centre for Economic Analysis, revised Nov 2023.
- Byrne, Joseph P. & Nagayasu, Jun, 2010.
"Structural breaks in the real exchange rate and real interest rate relationship,"
Global Finance Journal, Elsevier, vol. 21(2), pages 138-151.
- Byrne, Joseph P. & Nagayasu, Jun, 2008. "Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship," SIRE Discussion Papers 2008-52, Scottish Institute for Research in Economics (SIRE).
- Joseph P. Byrne & Jun Nagayasu, 2008. "Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship," Working Papers 2008_29, Business School - Economics, University of Glasgow.
- Silvana Bartoletto & Bruno Chiarini & Elisabetta Marzano, 2012. "The Sustainability of Fiscal Policy in Italy: A Long-Term Perspective," CESifo Working Paper Series 3812, CESifo.
- Chan, Tze-Haw, 2008. "International Parities among China and Her Major Trading Partners in Asia Pacific," MPRA Paper 15504, University Library of Munich, Germany, revised 06 Apr 2009.
- Tiwari, Aviral, 2010. "Is trade deficit sustainable in India? An inquiry," MPRA Paper 24451, University Library of Munich, Germany.
More about this item
Keywords
Multivariate statistics; Brazilian economy; Price analysis; Mineral economics; Mineral resources;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jrpoli:v:62:y:2019:i:c:p:9-21. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30467 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.