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.
Show moreOrganizations and authors
University of Oulu
Junttila Juha-Pekka
Publication type
Publication format
Article
Parent publication type
Journal
Article type
Original article
Audience
ScientificPeer-reviewed
Peer-ReviewedMINEDU's publication type classification code
A1 Journal article (refereed), original researchPublication channel information
Journal
Publisher
Volume
67
Issue
5
Pages
1919-1965
ISSN
Publication forum
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