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Commodity markets and the global macroeconomy : evidence from machine learning and GVAR

Year of publication

2024

Authors

Boakye, Ernest Owusu; Heimonen, Kari; Junttila, Juha

Abstract

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.
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Organizations and authors

University of Jyväskylä

Boakye Ernest

Heimonen Kari Orcid -palvelun logo

University of Oulu

Junttila Juha-Pekka

Publication type

Publication format

Article

Parent publication type

Journal

Article type

Original article

Audience

Scientific

Peer-reviewed

Peer-Reviewed

MINEDU's publication type classification code

A1 Journal article (refereed), original research

Publication channel information

Publisher

Springer

Volume

67

Issue

5

Pages

1919-1965

​Publication forum

55214

​Publication forum level

1

Open access

Open access in the publisher’s service

Yes

Open access of publication channel

Partially open publication channel

Self-archived

Yes

Other information

Fields of science

Economics; Business and management

Keywords

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Publication country

Germany

Internationality of the publisher

International

Language

English

International co-publication

No

Co-publication with a company

No

DOI

10.1007/s00181-024-02612-0

The publication is included in the Ministry of Education and Culture’s Publication data collection

Yes