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World Commodity Prices and Economic Activity in Advanced and Emerging Economies

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  • Jinan Liu

    (University of Nebraska)

  • Apostolos Serletis

    (University of Calgary)

Abstract

We investigate the volatility dynamics of commodity price and the dependence structure between commodity prices and output growth in the G7 and EM7 economies using a semiparametric GARCH-in-Mean copula approach. We show that for the G7 economies, a symmetric weak tail dependence exists between commodity prices and outputs in France, Germany, and Japan. For the EM7 economies, a lower tail dependence is observed between commodity prices and output growth in Brazil, and a symmetric weak tail dependence is observed in Indonesia. No statistically significant tail dependence between commodity prices and output growth is found for the rest of the G7 and EM7 economies.

Suggested Citation

  • Jinan Liu & Apostolos Serletis, 2022. "World Commodity Prices and Economic Activity in Advanced and Emerging Economies," Open Economies Review, Springer, vol. 33(2), pages 347-374, April.
    • Handle: RePEc:kap:openec:v:33:y:2022:i:2:d:10.1007_s11079-021-09632-8
    DOI: 10.1007/s11079-021-09632-8
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    More about this item

    Keywords

    Copula; Dependence; GARCH-in-Mean model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • O57 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Comparative Studies of Countries

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