INTERACTION OF WORLD PRICES FOR RAW MATERIALS AND BASIC INDICATORS OF THE WORLD ECONOMY
Keywords:
prices for raw materials, VAR-models, world economy, income, LIBOR rate, exchange rate of US dollar
Abstract
In the article was assed the functional dependencies between income in the world economy, the LIBOR rate, the US dollar exchange rate and the dynamics of world raw materials prices by using VAR and VAR / VEC methods. Using the VAR models with cyclic variables, the macroeconomic impact of world prices for raw materials on the main indicators of the world economy was demonstrated (indicators of the US economy were selected as its approximate characteristics ). By means of decomposition of residuals of VAR-models, the weight of each variable is determined in the changes of other dependent variables.
References
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2. Cashin P. Commodity currencies and the real exchange rate / P. Cashin, L. Cespedes, R. Sahay // Journal of Development Economics. 2004 No 75. Р. 239–268.
3. De Gregorio J. Terms of trade, productivity, and the real exchange rate / J. De Gregorio, H. Wolf // NBER Working Paper. 1994 No. 4807. Р.1–17.
4. Spatafora N. Commodity Terms of Trade: The History of Booms and Busts / N. Spatafora, I. Tytell // IMF Working Paper WP/09/205. 2009. 34 p.
5. Cashin P. Booms and Slumpc in World Commodity Prices / P. Cashin, J. McDermott, A. Soon // IMF Working Paper WP/99/155. 1999. Washington: International Monetary Fund. 25 p.
6. Broda C. Terms of trade and exchange rate regimes in developing countries / C. Broda // Journal of International Economy. 2004. Vol. 63. Issue 1. P. 31–58.
7. Grossmann A. The dynamics of exchange rate volatility: A panel VAR approach / A. Grossmann, І. Love, А. Orlov // Journal of International Financial Markets, Institutions & Money. 2014. Vol. 33. P. 1–27.
8. Harvey D. Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day / D. Harvey, N. Kellard, J. Madsen, M. Wohar // World Development. 2017. Vol. 89. P. 57–70.
9. IMF International Financial Statistics.URL: https://www.dataimf.org.
Published
2019-05-21
Pages
18-25
Section
SECTION 2 WORLD ECONOMY AND INTERNATIONAL ECONOMIC RELATIONS
