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Price Transmission in Commodity Networks

Author

Listed:
  • Annalisa Marini

    (University of Exeter)

  • Steve McCorriston

    (University of Exeter)

Abstract
We address the transmission of commodity price shocks and assess how source- specific shocks spillover to other exporting countries. Applying a multi-country panel VAR, we show that in a model that allows for cross-country interdependencies source- specific shocks have both direct and spillover effects. The results indicate that these spillover effects are an important feature of commodity price transmission. Accounting for these spillover effects has important implications for understanding commodity price dynamics and the management of price shocks in both exporting and importing countries.

Suggested Citation

  • Annalisa Marini & Steve McCorriston, 2019. "Price Transmission in Commodity Networks," Discussion Papers 1903, University of Exeter, Department of Economics.
    • Handle: RePEc:exe:wpaper:1903
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    File URL: https://exetereconomics.github.io/RePEc/dpapers/DP1903.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    PVAR; Commodity Price Transmission; Spillovers;
    All these keywords.

    JEL classification:

    • F00 - International Economics - - General - - - General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • Q1 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture

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