Title

Commodity-price volatility and macroeconomic spillovers: Evidence from nine emerging markets

Document Type

Article

Publication Date

1-1-2016

Abstract

The recent decade has witnessed wild swings in global commodity prices, with large increases preceding the Global Financial Crisis and steep declines following the crash. Many emerging markets find themselves destabilized by these fluctuations, not only when price increases lead to currency appreciations and reduced competitiveness, but also when price decreases cause capital outflows and deteriorations in the balance of payments. This study examines the volatility processes of six major commodity prices, before applying Multivariate GARCH analysis to examine spillovers among important commodity prices and output, exchange rates, interest rates and inflation in major emerging markets. While each commodity and each country behaves differently, we find that Chile is most closely tied to the copper price, and Indonesia to oil and tin, while neighbors such as Brazil and the Philippines are less affected. Perhaps surprisingly, Russia is found to be highly insulated from fluctuations in world oil prices.

DOI

10.1016/j.najef.2015.10.014

Publication Title

North American Journal of Economics and Finance

Volume Number

35

First Page

23

Last Page

37

ISSN

10629408

This document is currently not available here.

Share

COinS