Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146446
Authors: 
Fernández, Andrés
González, Andrés
Rodríguez, Diego
Year of Publication: 
2015
Series/Report no.: 
IDB Working Paper Series IDB-WP-640
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.
Subjects: 
Emerging economies
Business cycles
Commodity prices
Common factors
Bayesian estimation
Dynamic stochastic equilibrium models
JEL: 
E32
F41
F44
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by-nc-nd/3.0/igo/legalcode
Document Type: 
Working Paper

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