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

• 成果类型: Article
• 署名作者: Fernandez, Andres; Gonzalez, Andres; Rodriguez, Diego
• 署名单位: Inter-American Development Bank; Banco de la Republica Colombia
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2017.11.008
• 发表日期: 2018
• 页码: 99-121
• 关键词: Emerging economies; business cycles; commodity prices; Common factors; Bayesian estimation; Dynamic stochastic equilibrium models

摘要

We explore the hypothesis that fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). First, we document that commodity prices exhibit strong comovement with other macro variables along the business cycle of these economies; and that a common factor accounts for most of the time series dynamics of these commodity prices. Guided by these stylized facts, we embed a commodity sector into a dynamic, stochastic, multi-country business cycle model of EMEs where exogenous fluctuations in commodity prices coexist with other driving forces. Commodity prices follow a common dynamic factor structure in the model. When estimated with EMEs data, the model gives to commodity shocks, mostly in the form of perturbations to their common factor, a paramount role when accounting for aggregate dynamics: more than a third of the variance of real output across the EMEs considered is associated to commodity price shocks. The model also performs well when accounting for other business cycle facts. A further amplification mechanism is a spillover effect from commodity prices to interest rates. Yet, sometimes, positive commodity price shocks have also cushioned other negative domestic shocks, particularly during the fast recovery from the world financial crisis. (C) 2017 Elsevier B.V. All rights reserved.