Commodity prices volatility and macroeconomic performance: testing for a commodity-exporting country
by Ricardo Ramalhete Moreira
International Journal of Computational Economics and Econometrics (IJCEE), Vol. 6, No. 4, 2016

Abstract: This paper analysed the influence of commodity prices volatility on Brazil's gross domestic product (GDP), thereby contributing to the literature on commodity-exporting countries. Two methods to test for cointegration were used: the conventional Johansen's (1991) procedure and the Pesaran et al.'s (2001) auto regressive distributed lag (ARDL) bounds testing approach. By covering the monthly period from January 2005 to May 2013, the estimates robustly indicated that an increase of such volatility is followed by lower GDP levels. Some stylised facts regarding commodity prices were also tested in this paper.

Online publication date: Fri, 30-Sep-2016

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