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Commodities prices volatility, expected inflation and GDP levels: an application for a net-exporting economy

机译：商品价格波动，预期通货膨胀和GDP水平：净出口经济申请

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This work applies time series methods, such as VAR, ARMA-GARCH and Cointegration/VEC, in order to test for short and long term relationships between commodities prices changes and relevant macroeconomic variables in Brazil, from January/2005 to May/2013. The main evidences have shown the existence of short term effects of commodities prices shocks on the expected and current consumer inflation, as well as on GDP and exchange rate levels; in turn, the long term relationships have been verified through changes in commodities prices volatility: in long term, an increase of the latter means a context of higher expected inflation and lower GDP levels, thereby showing that economic authorities have scientific reasons to concern with abrupt fluctuations in commodities markets. In this sense, volatility in commodity markets is not neutral.
机译：这项工作适用时间序列方法，如var，arma-garch和cointegration / vec，以便从1月/ 2005年到5月至2013年开始测试商品价格变化和巴西相关宏观经济变量之间的短期和长期关系。主要证据表明，商品价格的短期影响的存在对预期和当前消费者通胀以及GDP和汇率水平的震荡;反过来，通过大宗商品价格波动的变化验证了长期关系：长期，后者的增加是指高出预期通货膨胀和降低GDP水平的背景，表明经济当局有科学理由突然关注商品市场的波动。从这个意义上讲，商品市场的波动性不是中立的。

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