宏观经济和石油冲击对印度有色金属价格的影响:一种结构性var方法

Q3 Economics, Econometrics and Finance Applied Econometrics Pub Date : 2021-01-01 DOI:10.22394/1993-7601-2021-63-30-50

K. Kakade, A. Mishra

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引用次数: 0

摘要

本文比较了实际利率、实际汇率、实际原油价格和其他主要宏观经济变量对金属价格的价值冲击。结构性VAR模型是根据2005年12月至2019年12月期间的月度数据估计的，以确定宏观经济冲击的不对称效应，并确定大宗商品价格是否表现出对这些冲击的超调行为。脉冲响应和预测误差方差分解函数分析了短期内对印度有色金属价格的影响。结果表明，金属指数和原油对金属价格有显著的正向影响，而实际利率对印度金属价格有负向影响。实际汇率和自身冲击对实际金属价格的影响是微不足道的。随着实际利率的变化，金属价格往往表现出一种超调行为。此外，预测误差方差分解揭示了原油价格对解释金属价格行为的增量贡献。

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The impact of macroeconomic and oil shocks on India’s non-ferrous metal prices: A structural-VAR approach

This paper compares the value shocks from the real interest rates, real exchange rates, real crude prices, and other key macroeconomic variables on the metal prices. The structural VAR models are estimated on monthly data over the period 2005m12–2019m12 to determine the asymmetric effect of the macroeconomic shocks and determine whether commodity prices display overshooting behavior in response to these shocks. The impulse response and the forecast error variance decomposition function analyze the short-term impacts on the Indian non-ferrous metal prices. The results indicate that the metals index, and crude oil have a significant positive impact on the prices of metals, while the real interest rate negatively affects India’s metal prices. The impact of the real exchange rate and own shocks on real metal prices is found to be insignificant. Metal prices tend to display an overshooting behavior in response to changes in the real interest rate. Besides, the forecast error variance decomposition reveals the incremental contribution of crude oil prices in explaining the behaviour of metal prices.

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.