Effects of global liquidity and commodity market shocks in a commodity-exporting developing economy

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-06-01 DOI:10.1016/j.jcomm.2023.100332

Gan-Ochir Doojav, Davaajargal Luvsannyam, Elbegjargal Enkh-Amgalan

引用次数: 0

Abstract

This paper assesses the effects and transmission mechanisms of global liquidity and commodity market shocks in Mongolia, a commodity-exporting developing economy, using a structural vector autoregression (SVAR) model. Results show that boom and bust cycles in commodity and international financial markets lead to business and financial cycles in the economy as these shocks account for 30, 45, and 60 percent of domestic output, real exchange rate, and lending rate fluctuations, respectively. Commodity demand shocks have more persistent and robust effects on domestic cycles than commodity supply shocks. Trade and financial (resource export revenues, lending rate, and exchange rate) channels are essential in transmitting the shocks. Buoyant commodity demand and global liquidity shocks lead to a significant fall in the domestic lending rate, while positive commodity supply and global liquidity shocks appreciate the real exchange rate.

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全球流动性和商品市场冲击对出口商品的发展中经济体的影响

本文使用结构向量自回归（SVAR）模型评估了全球流动性和商品市场冲击对商品出口发展中经济体蒙古的影响和传导机制。结果表明，商品和国际金融市场的繁荣和萧条周期导致了经济中的商业和金融周期，因为这些冲击分别占国内产出、实际汇率和贷款利率波动的30%、45%和60%。与商品供应冲击相比，商品需求冲击对国内周期的影响更为持久和强劲。贸易和金融（资源出口收入、贷款利率和汇率）渠道在传递冲击方面至关重要。大宗商品需求旺盛和全球流动性冲击导致国内贷款利率大幅下降，而正的大宗商品供应和全球性流动性冲击使实际汇率升值。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.