DEEP DIVE INTO COMMODITY MARKETS: EXPLORING THE COMMODITY–INDUSTRIAL PRODUCTION NEXUS
DOI:
https://doi.org/10.15173/esr.v21i2.2772Keywords:
Cointegration, Commodities, Industrial Production, Structural BreakAbstract
This article explores the commodity–industrial production nexus. More precisely, we assess the cointegration relationships between commodity markets and industrial production during 1993-2011, with an overview for several countries: the USA, the EU, Australia, China, Brazil, Canada, Germany. First, we explore the descriptive statistics and unit root tests of the dataset. Second, we develop two kinds of cointegration analyses (e.g. with/without structural break) between commodities on the one hand, and industrial production indices on the other hand. Third, we conclude on the main results achieved by this econometric procedure. The key contribution of our paper is to revisit the link between industrial production and commodity prices, by using an econometric methodology incorporating structural breaks, and by using a very recently updated dataset. By carrying out a systematic comparison between our results and papers previously published in this literature, we gain a wealth of insights.
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