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The Interdependence Between Commodity-Price and GDP Cycles: A Frequency-Domain Approach
Atlantic Economic Journal Pub Date : 2019-09-01 , DOI: 10.1007/s11293-019-09635-4
Jair N. Ojeda-Joya , Oscar Jaulin-Mendez , Juan C. Bustos-Peláez

In this paper, the interdependence between aggregate commodity prices and world gross domestic product (GDP) is studied by performing two empirical exercises with long-run data that starts in the nineteenth century. Long−term and medium-term cycles are computed and their degree of synchronization measured for different leads and lags. Causality tests are performed on the frequency domain. Both exercises deepen understanding of these macroeconomic relationships by disentangling them on the time and frequency dimensions, respectively. The results show evidence of cycle synchronization only in the case of super cycles. There is causality evidence from GDP to aggregate commodity prices mostly for long-run frequencies. Therefore, commodity-price trends and super-cycles are demand driven. There is causality evidence between oil-prices and GDP in both causation directions. However, oil-price fluctuations are predictive of GDP for business-cycle frequencies only. Overall, a frequency-domain approach is useful for identifying significant variation in the interdependence between commodity prices and GDP across fluctuation horizons.

中文翻译:

商品价格和 GDP 周期之间的相互依存关系:频域方法

在本文中,通过使用 19 世纪开始的长期数据进行两项实证研究,研究了商品总价格与世界国内生产总值 (GDP) 之间的相互依存关系。计算长期和中期周期,并针对不同的超前和滞后测量它们的同步程度。在频域上执行因果关系测试。这两个练习分别通过在时间和频率维度上解开它们来加深对这些宏观经济关系的理解。结果仅在超级循环的情况下显示了循环同步的证据。有来自 GDP 的因果关系证据来汇总商品价格,主要是针对长期频率。因此,商品价格趋势和超级周期是由需求驱动的。在两个因果关系方向上,油价和 GDP 之间都有因果关系的证据。然而,石油价格波动仅能预测商业周期频率的 GDP。总体而言,频域方法有助于识别跨波动范围的商品价格与 GDP 之间相互依存关系的显着变化。
更新日期:2019-09-01
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