Abstrakt EN:
This paper deals with links between global energy and non-energy com- modity prices and real and financial processes in the euro area. We use monthly data spanning from 1997:1 to 2013:12 and the structural Bayesian VAR model with Sims-Zha prior specification. The analysis is performed for three sub-periods in or- der to capture potential changes in the reactions over time. Our main finding is that, commodity prices are indeed related to financial processes in the euro area mac- roeconomy: changes in the euro area interest rate have significant influence on commodity prices. There is no relation, however, between real processes in the euro area and commodity prices. Additionally, the relations between commodity prices have gradually become tighter over time. (original abstract)
