Current Methods and Applications in Econometrics

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DOI :10.26650/B/SS10.2021.013.23   IUP :10.26650/B/SS10.2021.013.23    Full Text (PDF)

Commodity Price Uncertainty and Output Growth: SVAR-GARCH-M Model

Nurcan Metin, Mehmet Kenan Terzioğlu, Süreyya Dal, Kübra Karadağ

The actual demand and supply as well as the stock amount in commodity markets both affect the supply and demand expectations of investors. The future supply and demand expectations and uncertainty are influential with respect to the pricing in the commodity market. Since expectations and uncertainties in the commodity market can affect macroeconomic variables directly or indirectly, fluctuations in prices are crucial for policymakers and market practitioners. Changes or variations in financial markets may be seen as basic factors for commodity prices within globalizing economies and up-and-coming financial products. The effect of the changes in commodity prices that affect economic activity through various channels or transmission mechanisms varies between importing and exporting as well as between developed and developing countries. In this study, the effect of the commodity price uncertainty on output growth is examined within the context of the bivariate structural vector autoregression with a generalized autoregressive conditional heteroscedasticity in-mean error structure.


Keywords: Crude oil price index, Output growth, SVAR-GARCH-M model

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