Commodity prices volatility and macroeconomic performance: testing for a commodity-exporting country. (2016)

• Record Type: Journal Article
• Authors: Moreira, Ricardo Ramalhete
• Is Part Of: International journal of computational economics and econometrics. Volume 6:Number 4(2016)
• Page Start: 379
• Page End: 389
• Publication Date: 2016
• Subjects: commodity prices -- commodity price volatility -- gross domestic product -- GDP -- commodity exports -- cointegration -- Brazil -- macroeconomic performance; Econometrics -- Periodicals; Economics -- Data processing -- Periodicals; 330.01519505
• Languages: English
• ISSNs: 1757-1170

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.