Commodity prices volatility and macroeconomic performance: testing for a commodity-exporting country

被引：0
|
作者：
Moreira, Ricardo Ramalhete [1 ]
机构：
[1] Fed Univ Espirito Santo UFES, Av Fernando Ferrari,514, BR-29075910 Vitoria, ES, Brazil
来源：
INTERNATIONAL JOURNAL OF COMPUTATIONAL ECONOMICS AND ECONOMETRICS | 2016年 / 6卷 / 04期
关键词：
commodity prices volatility; gross domestic product; commodity-exporting country; cointegration; Brazil;
D O I：
10.1504/IJCEE.2016.10000278
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper analysed the influence of commodity prices volatility on Brazil's gross domestic product (GDP), thereby contributing to the literature on commodity-exporting countries. Two methods to test for cointegration were used: the conventional Johansen's (1991) procedure and the Pesaran et al.'s (2001) auto regressive distributed lag (ARDL) bounds testing approach. By covering the monthly period from January 2005 to May 2013, the estimates robustly indicated that an increase of such volatility is followed by lower GDP levels. Some stylised facts regarding commodity prices were also tested in this paper.
引用
收藏
页码：379 / 389
页数：11
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