World Shocks, World Prices, and Business Cycles : An Empirical Investigation
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.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Working Papers biblioteca |
| Language: | English |
| Published: |
Inter-American Development Bank
|
| Subjects: | Monetary Policy, Production and Business Cycle, World prices, |
| Online Access: | http://dx.doi.org/10.18235/0000721 https://publications.iadb.org/en/world-shocks-world-prices-and-business-cycles-empirical-investigation |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|