Emerging economies business cycles: The role of commodity terms of trade news

• 成果类型: Article
• 署名作者: Ben Zeev, Nadav; Pappa, Evi; Vicondoa, Alejandro
• 署名单位: Ben-Gurion University of the Negev; European University Institute; Pontificia Universidad Catolica de Chile
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2017.07.008
• 发表日期: 2017
• 页码: 368-376
• 关键词: Commodity terms of trade; business cycles; news shocks; Maximum forecast error variance; Small open economy

摘要

Recent empirical work has challenged the hypothesis that terms-of-trade shocks are an important source of cyclical fluctuations in emerging economies. We show that ignoring the news component in the terms of-trade movements results in misleading conclusions about their importance as a source of cyclical fluctuations. Using a sample of Latin American countries, we identify news-augmented Commodity-terms of-trade (CTOT) shocks by maximizing the forecast error variance share of the CTOT series at a finite future horizon. Our identification does not rely on zero impact restrictions typically used in the literature for recovering news shocks. Accounting for news almost doubles the contribution of CTOT to explain cyclical fluctuations: news-augmented CTOT shocks explain almost half of output variations in emerging economies. (C) 2017 Elsevier B.V. All rights reserved.