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Article Dans Une Revue Emerging Markets Review Année : 2017

Commodity price cycles and financial pressures in African commodities exporters

Cycles de prix des matières premières et tensions financières dans les pays exportateurs de matières premières

Résumé

In this study, we examine the interdependence between the credit and commodity price cycles among African commodity exporters. Specifically, we use an evolutionary co-spectral analysis that sets a time-varying dynamic correlation measure. Results of our analyses suggest that persistent commodity price shocks exert a greater impact on real economy than transitory fluctuations. Similar patterns can be derived for different types of commodities. During downswings, coherence is high for beverages and agricultural raw materials. In contrast, coherence for metals and oil is high during upswings. Periods of high coherence correspond to periods of financial pressure. As such, they can serve as indicators for impending financial crises.
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Dates et versions

hal-04281443 , version 1 (12-11-2023)

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Sandrine Kablan, Zied Ftiti, Khaled Guesmi. Commodity price cycles and financial pressures in African commodities exporters. Emerging Markets Review, 2017, 30, pp.215-231. ⟨10.1016/j.ememar.2016.05.005⟩. ⟨hal-04281443⟩
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