مطالب

Using a structural VAR with block exogeneity، diagonality and identifying restrictions، this paper analyzes: first، the macroeconomic linkages among the oil price، U.S. output، interest rate، money supply، general price level and exchange rate; and second، the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity groups. By assuming the block exogeneity of U.S. macroeconomic variables with respect to the international nonfuel commodity prices، the paper discusses how exogenous oil/macroeconomic shocks affect the international commodity prices. It finally explores which oil/macroeconomic shocks are important in explaining the variations in international commodity prices. The results show that the sources of major fluctuations in the international commodities differ greatly by commodity. Soft and hard commodity prices such as those of ‘seafood’، ‘industrial metals’، and ‘gold’ seem to be strongly affected by the financial factor. Moreover، for some commodities، price fluctuations are more affected by the financial factor than by the real factor، supporting the view of “financialization” of commodities. Those commodities include ‘vegetable oils and protein meals’، ‘meat’، ‘seafood’، and ‘industrial metals’. The financial factor is also an important source of fluctuations in the oil prices. Oil price shocks have effects on the volatilities of interest rates، money supply، and general price level instantly، as well as on the exchange rate instead of the general price two years after the shock. Over the whole forecasting horizon، the degree of exchange rate pass-through is low on the general price level but is positive and high on oil and nonfuel international commodity prices.

Libya experienced a substantial increase in oil revenue as a result of increased oil prices during the period of the late 1970s and early 1980s, and again after 2000. Recent increases in oil production and the price of oil, and their positive and negative macroeconomic impacts upon key macroeconomic variables, are of considerable contemporary importance to an oil dependent economy such as that of Libya. In this paper a dynamic macroeconomic model is developed for Libya to evaluate the effects of additional oil revenue, arising from positive oil production and oil price shocks, upon key macroeconomic variables, including the real exchange rate. It takes into consideration the impact of oil revenue upon the non-oil trade balance, foreign asset stock, physical capital stock, human capital stock, imported capital stock and non-oil production. Model simulation results indicate that additional oil revenue brings about: an increase in government revenue, increased government spending in the domestic economy, increased foreign asset stocks, increased output and wages in the non oil sector. However, increased oil revenue may also produce adverse consequences, particularly upon the non-oil trade balance, arising from a loss of competitiveness of non-oil tradable goods induced by an appreciation of the real exchange rate and increased imports stimulated by increased real income. Model simulation results also suggest that investment stimulating policy measures by government produce the most substantive benefits for the economy.