OECD Economic Activity and Non-Oil Commodity Prices: Reduced-Form Equations for INTERLINK

Gerald Holtham; Martine Durand

doi:https://doi.org/10.1787/385873764137

OECD Economics Department Working Papers

Working papers from the Economics Department of the OECD that cover the full range of the Department’s work including the economic situation, policy analysis and projections; fiscal policy, public expenditure and taxation; and structural issues including ageing, growth and productivity, migration, environment, human capital, housing, trade and investment, labour markets, regulatory reform, competition, health, and other issues.

The views expressed in these papers are those of the author(s) and do not necessarily reflect those of the OECD or of the governments of its member countries.

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ISSN: 18151973 (online)
https://doi.org/10.1787/18151973

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OECD Economic Activity and Non-Oil Commodity Prices

Reduced-Form Equations for INTERLINK

This paper gives an overview of the determination of non-oil commodity prices in the Economics and Statistics Department's INTERLINK world model. The practical problems which have been encountered, in particular in the context of full simulations are discussed. Based on a number of statistical tests, a new specification of the commodity price block is proposed. Indices of nominal commodity prices measured in dollars are estimated as functions of OECD economic activity and inflation, U.S. interest rates and oil prices. Compared to the previous system, the new equations are better behaved in a number of respects ...

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