Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/317020 
Year of Publication: 
2023
Citation: 
[Journal:] Empirical Economics [ISSN:] 1435-8921 [Volume:] 66 [Issue:] 2 [Publisher:] Springer Berlin Heidelberg [Place:] Berlin/Heidelberg [Year:] 2023 [Pages:] 883-925
Publisher: 
Springer Berlin Heidelberg, Berlin/Heidelberg
Abstract: 
Abstract In this study, we develop a framework, based on a global vector autoregression (GVAR) model, to unite two perspectives on commodity markets, the commodity-specific, single-market-centered approach, investigating the micro- and macroeconomic drivers of commodity prices, and the market perspective, which observes joint movements of commodity prices on exchanges. Thereby, the GVAR model disentangles single market from inter-market effects, while simultaneously accounting for the impact of macroeconomic factors. We apply the framework to the six industrial metals markets, reflecting their interdependencies via their co-production, co-consumption, or co-trading relation. In particular, the numerous significant spillover effects in the cross-commodity dimension underline the importance of jointly modeling commodity markets. While the strong co-movement between industrial metal prices is represented exceptionally well by our framework, the microeconomic supply and demand attributes of the commodities have significant impact, within and across markets, even on price variables, highlighting their relevance in modern commodity market models. Moreover, we detect global shocks, e.g., an increase in global demand, affect each commodity market to a similar extent.
Subjects: 
Commodities
Metal markets
Co-movement
Microeconomic factors
Global vector autoregressive model
Persistent Identifier of the first edition: 
Additional Information: 
Q02;Q31;C32;C51
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version
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