Explaining commodity prices through asymmetric oil shocks: evidence from nonlinear models

Rafiq, Shuddasattwa and Bloch, Harry 2016, Explaining commodity prices through asymmetric oil shocks: evidence from nonlinear models, Resources policy, vol. 50, pp. 34-48, doi: 10.1016/j.resourpol.2016.08.005.

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Title Explaining commodity prices through asymmetric oil shocks: evidence from nonlinear models
Author(s) Rafiq, ShuddasattwaORCID iD for Rafiq, Shuddasattwa orcid.org/0000-0002-2109-7441
Bloch, Harry
Journal name Resources policy
Volume number 50
Start page 34
End page 48
Total pages 15
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-12
ISSN 0301-4207
Keyword(s) oil prices
commodity prices
symmetry
asymmetry
price volatility
Summary Linkages between oil and 25 other commodity prices are examined using annual data for 1900 to 2011. We identify long-run relationships using both linear and nonlinear ARDL models and capture short-run causalities through asymmetric Granger causality tests. Nonlinearity can't be rejected for the relationship between oil and most other commodity prices. Long-run positive impacts of oil price increases are found for 20 commodities and short-run negative impacts for 13 commodity prices. Oil prices don't have much impact on beverage or cereal prices once endogeneity is accounted for, but they have substantial impact on metal prices.
Language eng
DOI 10.1016/j.resourpol.2016.08.005
Field of Research 140205 Environment and Resource Economics
0914 Resources Engineering And Extractive Metallurgy
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30086147

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
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