The time-varying VAR parameter approach allows us to study the evolution of the crude oil price elasticity with respect to the effective exchange rate of the dollar, the HWWI index, the Gold prices and the dry cargo index.
Turning to the HWWI raw materials index, figure 2 shows that the elasticity with the Brent is positive and is reinforced in our sample (from 0.
Third, USD and HWWI variance impacts are more and more important, especially after the beginning of the 21st century.
The HWWI index volatility can be considered as an important factor to understand the oil prices dynamics.
The HWWI index is a monthly commodity price index developed by the Hamburg Institute of International Economics (HWWI) in Germany.
The weights of the different commodities and commodity groups in the HWWI index we used in our study are the following: