Essays on the Macroeconomic Impacts of Energy and Commodity Markets.

다국어 초록 (Multilingual Abstract)

This dissertation consists of two essays on the macroeconomic impacts of energy and commodity markets. The first essay studies the effects of U.S. energy shocks on international economic activity and the world oil market. I use a set of factor augmented vector autoregressions to identify and compare the impact of unanticipated changes in U.S. energy efficiency and U.S. oil supply over the period 1980Q1–2019Q4. The identification strategy relies on the fact that positive shocks in both cases decrease the real price of oil and increase global GDP, while generating opposite implications for world oil production and consumption. On average, U.S. energy efficiency shocks have a larger impact on the real price of oil and global GDP than U.S. oil supply shocks. Historical decompositions suggest that in 2010 2019, U.S. oil supply shocks increased global GDP by 2 percent, while (negative) energy efficiency shocks decreased global GDP by 1.3 percent. The latter effect dominates during the second shale boom, 2017–2019. Considerable heterogeneity exists in cross-country responses, with GDP implications favorable for advanced and emerging market oil importers and adverse for oil exporters. I interpret the empirical findings through the lens of a dynamic general equilibrium multi-country model that features a global oil market and where key parameters are estimated using indirect inference.The second essay studies commodity price cycles and their underlying drivers using a dynamic factor model from a sample of 39 monthly commodity prices for the period 1970:01–2019:12. We identity global and group specific cycles in commodity markets and include them in a structural VAR model together with measures of global economic activity and global inflation to disentangle their response to global demand, global supply and commodity market-specific shocks. We find the following main results: (i) There exists a global cycle in commodity markets that accounts for an increasing fraction of comovement in commodity prices over the past two decades, particularly for energy, metals, and precious metals; (ii) Results are heterogeneous across groups of commodities with group specific commodity cycles existing for grains and precious metals over the full sample period, 1970–2019. Metal and energy prices exhibit within-group synchronization for the period 1970–1999; however, in recent years, their movements have become increasingly aligned with the global business cycle; (iii) Since 2000, the global commodity cycle is largely driven by global supply shocks, such as rapid productivity growth in emerging markets and developing economies, which increase demand for commodities; (iv) The large price spikes observed during the two most prominent commodity market boom-bust episodes of the past half century (i.e., 1972–74 and 2006–08) are driven additionally by shocks orthogonal to global economic activity such as shifts in speculative demand for commodities.