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Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
IDB Working Paper Series No. IDB-WP-768
Verlag: 
Inter-American Development Bank (IDB), Washington, DC
Zusammenfassung: 
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 percent). 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 percent 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.
Schlagwörter: 
World shocks
Commodity prices
Business cycles
JEL: 
F41
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Dokumentart: 
Working Paper

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