2016 | 14 | 59-77
Article title

The Impact of the Euro Area Macroeconomy on Global Commodity Prices

Title variants
Wpływ makrogospodarki strefy euro na światowe ceny surowców
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The aim of this paper is to analyse the links between real and financial processes in the euro area and energy and non-energy commodity prices. Monthly data spanning 1997:1 to 2013:12 and the structural VAR model are used to uncover the relationship between global commodity prices and the euro area economy. The analysis is performed for three sub-periods in order to capture potential changes in this relationship over time. The main finding is that commodity prices in the euro area do not respond to impulses from production (economic activity), whereas commodity prices strongly react to impulses from financial processes, i.e. interest rates in the euro area and the exchange rate of the dollar against the euro, especially in the run-up to the global financial crisis. The study also provides evidence of a tightening relationship between energy and non-energy commodity prices.
Celem artykułu jest zbadanie wzajemnych powiązań pomiędzy sferą realną i finansową gospodarki strefy euro a cenami surowców energetycznych i nieenergetycznych. Analizy oparto na danych miesięcznych obejmujących okres od stycznia 1997 r. do grudnia 2013 r., zaś wzajemne relacje zostały wyjaśnione za pomocą strukturalnego modelu wektorowej autoregresji SVAR. Analiza została przeprowadzona dla trzech podokresów, co miało umożliwić wykrycie potencjalnych zmian relacji. W wyniku badań ustalono, że ceny surowców nie reagowały na wstrząsy aktywności ekonomicznej, natomiast pozostawały pod silnym wpływem procesów finansowych, zwłaszcza w okresie poprzedzającym światowy kryzys finansowy. Badanie wykazało także, że umocniły się relacje pomiędzy cenami surowców energetycznych i nieenergetycznych.
Physical description
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