Commodity markets and the global macroeconomy : evidence from machine learning and GVAR
Publiceringsår
2024
Upphovspersoner
Boakye, Ernest Owusu; Heimonen, Kari; Junttila, Juha
Abstrakt
Based on a strongly data-intensive machine learning approach, this study first identifies the most essential globally traded commodities in view of their role for the global macroeconomic performance. At the second stage we estimate a global vector autoregressive model to assess in more detail these global reactions. Our results from the first stage indicate that of the 55 analyzed commodity markets, only four are revealed as the most important. At the second step, our GVAR analysis indicates that the commodity market effects on macroeconomic activity are neither unanimous across the commodities nor across macrovariables. As an overall result, the commodity market exposure is clearly stronger among the advanced countries such as the euro area, other developed economies, and China, compared to the emerging economies of Africa, Asia, and Latin America, at both the country and regional levels. This puts a lot of pressure on economic policies aimed at reducing, e.g., the depriving effects of commodity market price development on aggregate economic performance of these countries.
Visa merOrganisationer och upphovspersoner
Uleåborgs universitet
Junttila Juha-Pekka
Publikationstyp
Publikationsform
Artikel
Moderpublikationens typ
Tidning
Artikelstyp
En originalartikel
Målgrupp
VetenskapligKollegialt utvärderad
Kollegialt utvärderadUKM:s publikationstyp
A1 Originalartikel i en vetenskaplig tidskriftPublikationskanalens uppgifter
Journal
Förläggare
Volym
67
Nummer
5
Sidor
1919-1965
ISSN
Publikationsforum
Publikationsforumsnivå
1
Öppen tillgång
Öppen tillgänglighet i förläggarens tjänst
Ja
Öppen tillgång till publikationskanalen
Delvis öppen publikationskanal
Parallellsparad
Ja
Övriga uppgifter
Vetenskapsområden
Nationalekonomi; Företagsekonomi
Nyckelord
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Publiceringsland
Tyskland
Förlagets internationalitet
Internationell
Språk
engelska
Internationell sampublikation
Nej
Sampublikation med ett företag
Nej
DOI
10.1007/s00181-024-02612-0
Publikationen ingår i undervisnings- och kulturministeriets datainsamling
Ja