The Role of Common Shocks for Small Open Economies between 1900 and 2006: A Structural Estimation

Miyamoto, Wataru; Nguyen, Thuy Lan

doi:10.2139/ssrn.2146983

Cited by 2 publications

(3 citation statements)

References 42 publications

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“…49 It may be argued that the measures of government expenditure used above do not incorporate direct transfers from the government to households and that these can be an alternative mechanism for channeling resources from the commodity sector. 50 In this case, however, our model would be isomorphic to this case as households are the ultimate recipients of revenues from the commodity sector.…”

Section: The Role Of Fiscal Policy: a Discussionmentioning

confidence: 99%

“…Further empirical evidence for a larger number of countries against the hypothesis that the reaction of government spending in a commodity-exporting economy amplifies the effect of commodity prices on the business cycles is presented Cespedes and Velasco (2013) 50. There is evidence that during the previous decade, which coincided with the commodity boom period, large-scale cash transfer programs to poor households were put in place by goverments in these economies.…”

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confidence: 99%

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Sharing a ride on the commodities roller coaster : common factors in business cycles of emerging economies

Fernández¹,

González-Gómez²,

Rodríguez-Guzmán³

2015

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Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). We document how these fluctuations correlate strongly with the business cycle in EMEs. We then embed a commodity sector into a multi-country EMEs business cycle model where exogenous fluctuations in commodity prices follow a common dynamic factor structure and coexist with other driving forces. The estimated model assigns to commodity shocks 42 percent of the variance in income, of which a considerable part is linked to the common factor. A further amplification mechanism is a spillover effect from commodity prices to risk premia.

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Section: The Role Of Fiscal Policy: a Discussionmentioning

confidence: 99%

mentioning

confidence: 99%

Sharing a ride on the commodities roller coaster : common factors in business cycles of emerging economies

Fernández¹,

González-Gómez²,

Rodríguez-Guzmán³

2015

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“…This assertion is supported by the serial correlations reported in Figure 12 where, once more, we correlate country commodity price indices with economic activity across EMEs, except that this time we com- It may be argued that the measures of government expenditure used above do not incorporate direct transfers from the government to households and that these can be an alternative mechanism for channeling resources from the commodity sector. 50 In this case, however, our model would be isomorphic to this case as households are the ultimate recipients of revenues from the commodity sector.…”

mentioning

confidence: 99%

Sharing a ride on the commodities roller coaster: Common factors in business cycles of emerging economies

Fernández

González

Rodríguez

2018

Journal of International Economics

137

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Inter-American Development Bank. This work is licensed under a Creative Commons IGO 3.0 AttributionNonCommercial-NoDerivatives (CC-IGO BY-NC-ND 3.0 IGO) license (http://creativecommons.org/licenses/by-nc-nd/3.0/igo/ legalcode) and may be reproduced with attribution to the IDB and for any non-commercial purpose, as provided below. No derivative work is allowed. Terms of use: Documents inAny dispute related to the use of the works of the IDB that cannot be settled amicably shall be submitted to arbitration pursuant to the UNCITRAL rules. The use of the IDB's name for any purpose other than for attribution, and the use of IDB's logo shall be subject to a separate written license agreement between the IDB and the user and is not authorized as part of this CC-IGO license.Following a peer review process, and with previous written consent by the Inter-American Development Bank (IDB), a revised version of this work may also be reproduced in any academic journal, including those indexed by the American Economic Association's EconLit, provided that the IDB is credited and that the author(s) receive no income from the publication. Therefore, the restriction to receive income from such publication shall only extend to the publication's author(s). With regard to such restriction, in case of any inconsistency between the Creative Commons IGO 3.0 Attribution-NonCommercial-NoDerivatives license and these statements, the latter shall prevail.Note that link provided above includes additional terms and conditions of the license.The opinions expressed in this publication are those of the authors and do not necessarily reflect the views of the Inter-American Development Bank, its Board of Directors, or the countries they represent.http://www.iadb.org 2015 Abstract * Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). This paper documents how these fluctuations correlate strongly with the business cycle in EMEs. A commodity sector is then embedded into a multi-country EMEs business cycle model where exogenous fluctuations in commodity prices follow a common dynamic factor structure and coexist with other driving forces. The estimated model assigns to commodity shocks 42 percent of the variance in income, of which a considerable part is linked to the common factor. A further amplification mechanism is a spillover effect from commodity prices to risk premia. JEL classifications: E32, F41, F44

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The Role of Common Shocks for Small Open Economies between 1900 and 2006: A Structural Estimation

Cited by 2 publications

References 42 publications

Sharing a ride on the commodities roller coaster : common factors in business cycles of emerging economies

Sharing a ride on the commodities roller coaster : common factors in business cycles of emerging economies

Sharing a ride on the commodities roller coaster: Common factors in business cycles of emerging economies

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