Munich Personal RePEc Archive

The impact of the Euro area macroeconomy on energy and non-energy global commodity prices

Papież, Monika and Śmiech, Sławomir and Dąbrowski, Marek A. (2014): The impact of the Euro area macroeconomy on energy and non-energy global commodity prices.

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Abstract

The aim of the paper is the analysis of the links between the real and financial processes in the euro area and energy and non-energy commodity prices. Monthly data spanning from 1997:1 to 2013:12 and the structural VAR model are used to analyse the relations between global commodity prices and the euro area economy. The analysis is performed for three sub-periods in order to capture potential changes in these relations in time. The main finding of the study reveals that commodity prices in the euro area do not respond to impulses from production (the economic activity), while commodity prices strongly react to impulses from financial processes, that is, the interest rates in the euro area and the dollar exchange rate to the euro (especially in the period before the global financial crisis). The study also indicates tightening the relations between energy and non-energy commodity prices.

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