Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European Countries
Using quarterly data for the 2002–2022 period, we estimate the output and inflation effects of several commodity prices (agricultural raw materials, crude oil, and metals) for 8 Eastern European countries with different exchange rate regimes. The Kalman filter is used for estimating the time-varying...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-12-01
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| Series: | Commodities |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2813-2432/3/1/2 |
| _version_ | 1797241583389638656 |
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| author | Roman Kopych Viktor Shevchuk |
| author_facet | Roman Kopych Viktor Shevchuk |
| author_sort | Roman Kopych |
| collection | DOAJ |
| description | Using quarterly data for the 2002–2022 period, we estimate the output and inflation effects of several commodity prices (agricultural raw materials, crude oil, and metals) for 8 Eastern European countries with different exchange rate regimes. The Kalman filter is used for estimating the time-varying parameters. Our main findings can be summarized in the following way: (i) higher crude oil prices are inflationary in most of the countries (except Slovakia), with a stronger price effect since 2020; (ii) crude oil prices are neutral with respect to output growth in 4 out of 8 countries, with an expansionary effect in Croatia, Slovenia, and Romania, as well as a contractionary effect in Slovakia, but the crude oil shock of 2021–2022 seems to be expansionary in almost all countries (except Slovakia), regardless of the exchange rate regime practiced; (iii) inflation and output effects of metals prices are quite heterogeneous across countries; (iv) agricultural raw material prices play a role in both inflation and output growth only in Bulgaria and Poland. Since 2021, a growing inflationary impact of crude oil prices suggests a stronger monetary policy reaction to the oil shock, especially in the presence of its favorable output effect. |
| first_indexed | 2024-04-24T18:25:38Z |
| format | Article |
| id | doaj.art-6093a59631a44e8cb7610e36c5dce6fa |
| institution | Directory Open Access Journal |
| issn | 2813-2432 |
| language | English |
| last_indexed | 2024-04-24T18:25:38Z |
| publishDate | 2023-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Commodities |
| spelling | doaj.art-6093a59631a44e8cb7610e36c5dce6fa2024-03-27T13:31:49ZengMDPI AGCommodities2813-24322023-12-0131193510.3390/commodities3010002Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European CountriesRoman Kopych0Viktor Shevchuk1Department of International Economic Relations, Lviv University of Trade and Economics, 10 Tuhan-Baranovskoho Str., 79-005 Lviv, UkraineCouncil of Social Studies, Cracow University of Technology, 24 Warszawska Str., 31-155 Cracow, PolandUsing quarterly data for the 2002–2022 period, we estimate the output and inflation effects of several commodity prices (agricultural raw materials, crude oil, and metals) for 8 Eastern European countries with different exchange rate regimes. The Kalman filter is used for estimating the time-varying parameters. Our main findings can be summarized in the following way: (i) higher crude oil prices are inflationary in most of the countries (except Slovakia), with a stronger price effect since 2020; (ii) crude oil prices are neutral with respect to output growth in 4 out of 8 countries, with an expansionary effect in Croatia, Slovenia, and Romania, as well as a contractionary effect in Slovakia, but the crude oil shock of 2021–2022 seems to be expansionary in almost all countries (except Slovakia), regardless of the exchange rate regime practiced; (iii) inflation and output effects of metals prices are quite heterogeneous across countries; (iv) agricultural raw material prices play a role in both inflation and output growth only in Bulgaria and Poland. Since 2021, a growing inflationary impact of crude oil prices suggests a stronger monetary policy reaction to the oil shock, especially in the presence of its favorable output effect.https://www.mdpi.com/2813-2432/3/1/2commodity pricesoutputinflationKalman filterEastern Europe |
| spellingShingle | Roman Kopych Viktor Shevchuk Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European Countries Commodities commodity prices output inflation Kalman filter Eastern Europe |
| title | Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European Countries |
| title_full | Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European Countries |
| title_fullStr | Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European Countries |
| title_full_unstemmed | Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European Countries |
| title_short | Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European Countries |
| title_sort | time varying impact of commodity prices on output growth and inflation in the eastern european countries |
| topic | commodity prices output inflation Kalman filter Eastern Europe |
| url | https://www.mdpi.com/2813-2432/3/1/2 |
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