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  5. Commodity shocks and the macroeconomy

Commodity shocks and the macroeconomy

来源 :中国系统工程学会 | 被引量 : 0次 | 上传用户：tom95800
【摘 要】
：
In this paper,we examine how the impact of commodity price movements on the macroeconomy differs depending on the underlying source of the shock,specifically,whether the commodity price has been drive
【作 者】
：
Jiajing Sun Abderrahim Taamouti Dennis Philip 
【机 构】
：
School of Economics and Management,University of Chinese Academy of Sciences,China
【出 处】
：
中国系统工程学会
【发表日期】
：
2015年3期
【关键词】
：
Commodity Price Shocks Time-varying Parameter VARs Indirect Causality 
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　　In this paper,we examine how the impact of commodity price movements on the macroeconomy differs depending on the underlying source of the shock,specifically,whether the commodity price has been driven by a supply,or demand.We adopt the time varying parameters VAR(vector autoregressive)setting,and allow the shocks to vary over time.We also examined the indirect causality,and measured the effects that are transmitted through auxiliary variables.
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