Florian Huber, Tamás Krisztin, Michael Pfarrhofer
arXiv 4 Apr 2018 · Econometrics
arXiv:1804.01554 · PDF · DOI · OpenAlex · Extracted main text
In this paper, we assess the impact of climate shocks on futures markets for agricultural commodities and a set of macroeconomic quantities for multiple high-income economies. To capture relations among countries, markets, and climate shocks, this paper proposes parsimonious methods to estimate high-dimensional panel VARs. We assume that coefficients associated with domestic lagged endogenous variables arise from a Gaussian mixture model while further parsimony is achieved using suitable global-local shrinkage priors on several regions of the parameter space. Our results point towards pronounced global reactions of key macroeconomic quantities to climate shocks. Moreover, the empirical findings highlight substantial linkages between regionally located climate shifts and global commodity markets.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Nazlioglu S, and Soytas U (2011) World oil prices and agricultural commodity prices: Evidence from an emerging market | 1.000 | 8 | 3 | 100% |
| 2 | Malsiner-Walli G, Frühwirth-Schnatter S, and Grün B (2016) Model-based clustering based on sparse finite Gaussian mixtures | 1.000 | 7 | 3 | 100% |
| 3 | Lucotte Y (2016) Co-movements between crude oil and food prices: A post-commodity boom perspective | 1.000 | 5 | 3 | 100% |
| 4 | Kastner G (2019) a), Sparse Bayesian time-varying covariance estimation in many dimensions | 0.928 | 5 | 3 | 80% |
| 5 | Akram QF (2009) Commodity prices, interest rates and the dollar | 0.928 | 4 | 3 | 100% |
| 6 | Headey D (2011) Rethinking the global food crisis: The role of trade shocks | 0.874 | 7 | 2 | 100% |
| 7 | Huber F, and Feldkircher M (2019) Adaptive shrinkage in Bayesian vector autoregressive models | 0.843 | 4 | 3 | 75% |
| 8 | Koop G, and Korobilis D (2016) Model uncertainty in panel vector autoregressive models | 0.811 | 4 | 2 | 100% |
| 9 | Nazlioglu S (2011) World oil and agricultural commodity prices: Evidence from nonlinear causality | 0.737 | 3 | 2 | 100% |
| 10 | Canova F, and Ciccarelli M (2009) Estimating multicountry VAR models | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 73 scored citations.