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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2014.4
- 수록면
- 45 - 85 (41page)
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초록· 키워드
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Using a structural VAR with block exogeneity, diagonality and identifying restrictions, the paper first analyzes the macroeconomic linkages among the oil price, U.S. output, interest rate, money supply, price level, and exchange rate, and second with international non-fuel commodity group prices. By assuming the block exogeneity of U.S. macroeconomic variables with respect to the international non-fuel commodity prices, the paper discusses how exogenous macroeconomic shocks affect those commodity prices. It finally explores which oil/macroeconomic shocks are important in explaining the variations in the commodity prices. The results show that the sources of major fluctuations in the international commodity differ greatly by commodity. Some commodity prices seem to be affected greatly by financial factor such as ‘seafood’, ‘industrial metal’, and ‘gold’. Moreover, for some commodities, price volatilities are more affected by financial factor than by real factor. Those commodities include ‘vegetable oils and protein meals’, ‘meat’, ‘seafood’, and ‘industrial metals’. Financial factor is also important source of fluctuations in the oil prices. Oil price shocks have instantaneous effects on the volatilities of interest rates, money supply, and price level. Oil shocks also have significant effects on interest rate, money supply, and exchange rate two years after the shock.
목차
1. INTRODUCTION
2. THE MODEL AND ITS IDENTIFICATION
3. ESTIMATION RESULTS
4. CONCLUSIONS
REFERENCES
참고문헌 (28)
참고문헌 신청
1. [보고서] - Anzuini, A. / 2010 / The Impact of Monetary Policy Shocks on Commodity Prices
2. [학술지(정기간행물)] - Bernanke, B. / 1992 / The Federal Funds Rate and Channels of Monetary Transmission / American Economic Review 82 (4) : 901 ~ 921
3. [학술지(정기간행물)] - Bhar, R. / 2010 / Re-Examining the Dynamic Causal Oil-Macroeconomy Relationship / International Review of Financial Analysis 19 (4) : 298 ~ 305
4. [학술지(정기간행물)] - Blanchard, O. / 1989 / The Dynamic Effects of Aggregate Demand and Supply Disturbances / American Economic Review 79 : 655 ~ 673
5. [학술지(정기간행물)] - Brown, S / 2002 / Oil Prices and U.S. Aggregate Economy: A Question of Neutrality / The Energy Journal 23 (3) : 27 ~ 52
2. [학술지(정기간행물)] - Bernanke, B. / 1992 / The Federal Funds Rate and Channels of Monetary Transmission / American Economic Review 82 (4) : 901 ~ 921
3. [학술지(정기간행물)] - Bhar, R. / 2010 / Re-Examining the Dynamic Causal Oil-Macroeconomy Relationship / International Review of Financial Analysis 19 (4) : 298 ~ 305
4. [학술지(정기간행물)] - Blanchard, O. / 1989 / The Dynamic Effects of Aggregate Demand and Supply Disturbances / American Economic Review 79 : 655 ~ 673
5. [학술지(정기간행물)] - Brown, S / 2002 / Oil Prices and U.S. Aggregate Economy: A Question of Neutrality / The Energy Journal 23 (3) : 27 ~ 52
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UCI(KEPA) : I410-ECN-0101-2015-300-001440204