International Commodity Prices and Macroeconomic Variables: A Multivariate Dynamic Conditional Correlation GARCH Approach

• 발행기관: 건국대학교 경제경영연구소
• 저자명: Hulan Orsoo Won Joong Kim Shawkat Hammoudeh
• 간행물 정보: 『상경연구』제40권 제2호, 25~55쪽, 전체 31쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2015.09.30

영문 초록

The international commodity prices are closely related to macroeconomic variables through the business cycle, exchange rate and financial channels. This paper analyzes the dynamic co-movements between three major international commodity prices - oil, copper and coal - and five international macroeconomics variables representing the three business and financial channels. The macroeconomic variables are Chinese industrial production, real effective exchange rate ($/foreign), U.S. real interest rate, U.S. real money supply, U.S. Dow Jones stock market index, using a multivariate GARCH model. The empirical results show that the Chinese industrial production is positively and significantly correlated only with the oil price, while the U.S. real exchange rate ($/foreign currencies) shows positive and statistically significant correlations with all three commodity prices. On the other hand, the U.S. interest rate shows statistically significant and negative correlation only with the oil price. The U.S. money supply shows no statistically significant correlation with other international commodity prices. The stock price shows positive and significant correlations with oil and copper. All the commodity prices show significant and positive correlations with other commodity prices.

목차

Abstract

I. Introduction

II. Review of the Literature

III. Empirical model and data

IV. Estimation results

V. Conclusion

References

키워드

international commodity prices dynamic conditional correlation (DCC) multivariate GARCH exchange rate interest rate oil China