Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/169324
Authors: 
Ghoshray, Atanu
Pundit, Madhavi
Year of Publication: 
2016
Series/Report no.: 
ADB Economics Working Paper Series 493
Abstract: 
The recent slowdown of the People's Republic of China (PRC) has led to question to what extent the PRC demand of commodities can have an impact on commodity prices. We take into account the fact that commodity prices are characterized by structural breaks, and to this end we make use of novel econometric procedures incorporating the Flexible Fourier Form when testing for causal relations between the PRC slowdown and commodity prices. We find varying degrees of response of the PRC slowdown on different commodity prices. Further, this study determines whether the economic growth in selected developing and emerging Asian countries that are heavily dependent on commodities respond in an asymmetric manner to positive commodity price shocks as opposed to negative price shocks. Adopting a structural dynamic regression and censoring positive and negative shocks, we find limited evidence of any asymmetric response of economic activity to positive and negative commodity price shocks.
Subjects: 
commodity prices
economic growth
Flexible Fourier Form
impulse response analysis
PRC slowdown
JEL: 
C22
C32
F43
O47
Q31
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/igo/
Document Type: 
Working Paper

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