A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
Commodity markets and the global macroeconomy : evidence from machine learning and GVAR (2024)

Boakye, E. O., Heimonen, K., & Junttila, J. (2024). Commodity markets and the global macroeconomy : evidence from machine learning and GVAR. Empirical Economics, Early online. https://doi.org/10.1007/s00181-024-02612-0

JYU-tekijät tai -toimittajat

Boakye, Ernest
Heimonen, Kari

Julkaisun tiedot

Julkaisun kaikki tekijät tai toimittajat: Boakye, Ernest Owusu; Heimonen, Kari; Junttila, Juha

Lehti tai sarja: Empirical Economics

ISSN: 0377-7332

eISSN: 1435-8921

Julkaisuvuosi: 2024

Ilmestymispäivä: 23.05.2024

Volyymi: Early online

Kustantaja: Springer

Julkaisumaa: Saksa

Julkaisun kieli: englanti

DOI: https://doi.org/10.1007/s00181-024-02612-0

Julkaisun avoin saatavuus: Avoimesti saatavilla

Julkaisukanavan avoin saatavuus: Osittain avoin julkaisukanava

Julkaisu on rinnakkaistallennettu (JYX): https://jyx.jyu.fi/handle/123456789/95190

Tiivistelmä

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.

YSO-asiasanat: makrotalous; koneoppiminen; talouspolitiikka; kansainvälinen talous

Vapaat asiasanat: commodity prices; macroeconomy; machine learning; global VAR

Liittyvät organisaatiot

OKM-raportointi: Kyllä

VIRTA-lähetysvuosi: 2024

Alustava JUFO-taso: 1