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dc.titleSharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies
dc.contributor.authorRodriguez, Diego
dc.contributor.authorGonzalez, Andres
dc.contributor.authorFernandez, Andres
dc.contributor.orgunitDepartment of Research and Chief Economist
dc.coverageChile
dc.coveragePeru
dc.coverageBrazil
dc.coverageColombia
dc.coverageLatin America
dc.date.available2016-01-13T00:00:00
dc.date.issue2015-12-23T00:00:00
dc.description.abstractFluctuations 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.
dc.identifier.doihttp://dx.doi.org/10.18235/0011716
dc.identifier.urlhttps://publications.iadb.org/publications/english/document/Sharing-a-Ride-on-the-Commodities-Roller-Coaster-Common-Factors-in-Business-Cycles-of-Emerging-Economies.pdf
dc.language.isoen
dc.mediumAdobe PDF
dc.publisherInter-American Development Bank
dc.subjectProduction and Business Cycle
dc.subject.jelcodeE32 - Business Fluctuations • Cycles
dc.subject.jelcodeF41 - Open Economy Macroeconomics
dc.subject.keywordsEmerging economies, Business cycles, Commodity prices, Common factors, Bayesian estimation, Dynamic stochastic equilibrium models *;IDB-WP-640
dc.typeWorking Papers
idb.identifier.pubnumberWorking Papers
idb.operationRG-K1089
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