World shocks, world prices, and business cycles : An empirical investigation

• 成果类型: Article; Proceedings Paper
• 署名作者: Fernandez, Andres; Schmitt-Grohe, Stephanie; Uribe, Martin
• 署名单位: Inter-American Development Bank; Columbia University; Centre for Economic Policy Research - UK; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2017.01.001
• 发表日期: 2017
• 页码: S2-S14
• 关键词: World shocks; commodity prices; business cycles

摘要

SVAR models that include a single world price (such as the terms-of-trade) predict that world shocks explain a small fraction of movements in domestic output (typically less than 10%). This paper presents an empirical framework in which multiple commodity prices transmit world disturbances. Estimates on a panel of 138 countries over the period 1960-2015 indicate that world shocks explain on average 33% of output fluctuations in individual economies. This figure doubles when the model is estimated on post 2000 data. The findings reported here suggest that one-world-price specifications significantly underestimate the importance of world shocks for domestic business cycles. (C) 2017 Elsevier B.V. All rights reserved.