Effects of global liquidity and commodity market shocks in a commodity-exporting developing economy
نویسندگان
چکیده
This paper assesses the effects and transmission mechanisms of global liquidity commodity market shocks in Mongolia, a commodity-exporting developing economy, using structural vector autoregression (SVAR) model. Results show that boom bust cycles international financial markets lead to business economy as these account for 30, 45, 60 percent domestic output, real exchange rate, lending rate fluctuations, respectively. Commodity demand have more persistent robust on than supply shocks. Trade (resource export revenues, rate) channels are essential transmitting Buoyant significant fall while positive appreciate rate.
منابع مشابه
Global dynamics in a commodity market model
We study the global behavior of the price dynamics in a commodity market governed by a balance between demand and supply. While the dependence of demand on price is considered instantaneous, the supply term contains a delay, leading to a delay–differential equation. A discrete model is naturally defined as a limit case of this equation. We provide a thorough study of the discrete case, and use ...
متن کاملThe Changing Relationship Between Commodity Prices and Equity Prices in Commodity Exporting Countries
The paper explores the linkage between equity and commodity markets, focusing in particular on its evolution over time. It documents that a country’s equity market value has significant out-of-sample predictive ability for the future global commodity price index for several primary commodity-exporting countries. The out-of-sample predictive ability of the equity market appears around 2000s. The...
متن کاملCommodity futures and market efficiency
a r t i c l e i n f o We analyze the market efficiency of 25 commodity futures across various groups—metals, energies, soft commodities , grains and other agricultural commodities. To do so, we utilize the recently proposed Efficiency Index to find out that the most efficient among all of the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat, and coffee. On t...
متن کاملMarket Power in Commodity Crisis
This paper shows that changes in market power explain one of the major commodity crises in recent history. I estimate coffee bean demand and then use the estimates jointly with a model of supply side to recover the effectiveness of the export quota agreement. Of the 73.7% price decline between 1988 and 2001, 53.7% points are attributed to the 1989 cartel breakdown. Growing exports from Vietnam ...
متن کاملCommodity Prices, Commodity Currencies, and Global Economic Developments
In this paper, we seek to produce forecasts of commodity price movements that can systematically improve on naïve statistical benchmarks. We revisit how well changes in commodity currencies perform as potential efficient predictors of commodity prices, a view emphasized in the recent literature. In addition, we consider different types of factor-augmented models that use information from a larg...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Commodity Markets
سال: 2023
ISSN: ['2405-8513', '2405-8505']
DOI: https://doi.org/10.1016/j.jcomm.2023.100332