Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market

Souza, Rodrigo da Silva; Fry-McKibbin, Renée

doi:10.1016/j.iref.2021.07.008

Cited by 14 publications

(11 citation statements)

References 36 publications

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“…13 Since mid-2000, one of the main reasons for these large fluctuations is the increase in the use of metal commodities to support industrialization in China. Sousa and Fry-McKibbin ( 2021 ) empirically showed that the Chinese resource demand shocks drive metal prices up and affects the macroeconomy in emerging markets. Among the energy prices, we find that the coefficient of oil price volatility is negative and statistically significant.…”

Section: Resultsmentioning

confidence: 99%

The impact of commodity price volatility on fiscal balance and the role of real interest rate

2022

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The objective of this study is to explore the impact of commodity price volatility on the governments’ fiscal balance. Using a dynamic panel data model for 108 countries from 1993 to 2018, this study finds that governments’ fiscal balance deteriorates with commodity price volatility, especially for commodity-exporting economies. A one standard deviation increase in commodity price volatility leads to a reduction of approximately 0.04 units in the fiscal balance as a percentage of gross domestic product. Further, we examine the role of real interest rates in influencing the relationship between commodity price volatility and fiscal balance. The empirical results suggest that the negative impact of commodity price volatility on fiscal balance can be mitigated with a lower real interest rate. This implies under the sticky price assumption, an accommodative monetary policy could be effective in moderating the negative effect of commodity price volatility on fiscal balance.

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Section: Resultsmentioning

confidence: 99%

The impact of commodity price volatility on fiscal balance and the role of real interest rate

2022

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“…Similar conclusions were reached by Gil-Alana and Monge (2020), who noted that COVID-19 made the oil market inefficient, making oil prices unpredictable. Moreover, recent studies confirm that the commodity market, especially the oil market, is strongly related to other financial markets and has a significant impact on the condition of the global economy (Liang et al, 2020;Da Silva Souza and Fry-McKibbin, 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic

Łamasz

Michalski

Puka

2023

IJEEP

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The COVID-19 pandemic has caused turbulence in many areas of the global economy. It also contributed to an increase in volatility on the energy commodities market. This spilled over into the derivatives market, particularly the crude oil futures market. The aim of the article is to compare the costs and effectiveness of using options on WTI oil from before and after the pandemic. The analyzes took into account the value of option premiums and final results obtained by buyers of call options from March 1, 2018 to April 14, 2022. The results showed that buyers of call options during the pandemic, despite paying much higher option premiums, experienced significantly higher payouts and rates of return. They were the highest for options with the longest expiry periods of 21-30 days. Research also showed that during the pandemic, options with strike prices set at a level higher than the price of oil on the contract date had particularly high rates of return, while the highest payout values were achieved by buyers of call options with low strike prices.

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“…Liu et al (2021) [38] found that for global trade, an increase in oil prices has a significantly greater impact than a decrease in oil prices in the long term, as discussed in Togonidze & Kočenda (2022) [39]. Souza & McKibbin (2021) [40] found that the most susceptible to shocks are the spheres of foreign trade built on the export of primary goods, according to the opinion. Boateng et al (2022) [41] hypothesized that this effect is strongest in emerging economies.…”

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confidence: 99%

The Influence of Macroeconomic Factors on the Export of Cereal Crops in Foreign Trade Activities Individual Countries

Khairova,

Perskaya,

Khairov

et al. 2023

J. Hum. Earth Future

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Aims: The aim is to analyze the impact of macroeconomic factors on the dynamics of realizing the foreign trade potential of companies based on vector autoregression and the formation of strategic priorities for the companies’ economic activities. Methods: The research methodology is based on the application of methods of time series analysis and impulse response functions. The Granger causality test was used for the linear causal relationship between the analyzed indicators. The study used statistical data for the period 2001–2020 in the annual section of the World Bank Trade Map portal. Results: It is shown that the innovative development of the country contributes to an increase in non-raw material trade with countries geographically close to its borders. It was revealed that the level of agricultural development of the importing country influences the import of cereals with a lag effect of 3–4 years. Justified: The intensification of export-import operations contributes to the development of the production potential of countries as a whole, creating great potential for enhancing the economic activity of agricultural companies and creating incentives for the development of the economies of the country's regions. It has been determined that the foreign trade system is an equilibrium system that returns to a stable state 2-3 years after the shock impact of exogenous and endogenous factors. Novelty: The novelty of the study lies in the assessment of the dynamic impact of the shock impact of exogenous and endogenous factors on macroeconomic indicators, taking into account the specifics of the foreign trade turnover of countries. Conclusion: The results of the study can be used to develop a strategy for the development of foreign trade activities, including grain crops for both countries, to realize more reliable forecasting of foreign economic transactions with a lag of 3-5 years. Doi: 10.28991/HEF-2023-04-04-08 Full Text: PDF

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Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market

Cited by 14 publications

References 36 publications

The impact of commodity price volatility on fiscal balance and the role of real interest rate

The impact of commodity price volatility on fiscal balance and the role of real interest rate

WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic

The Influence of Macroeconomic Factors on the Export of Cereal Crops in Foreign Trade Activities Individual Countries

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