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Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies

Author

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  • Andrés Fernández
  • Andres Gonzalez
  • Diego Rodriguez
Abstract
Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). We document how these fluctuations correlate strongly with the business cycle in EMEs. We then embed a commodity sector 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.

Suggested Citation

  • Andrés Fernández & Andres Gonzalez & Diego Rodriguez, 2015. "Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies," IMF Working Papers 2015/280, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2015/280
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    More about this item

    Keywords

    WP; exchange rate; commodity price; Emerging economies; business cycles; commodity prices; common factors; Bayesian estimation; dynamic stochastic equilibrium models; export share; standard deviation; capital goods; commodity shock; time series; commodity production; consumption good; endowment sector; commodity endowment sector; shock process; spot price; Commodity price shocks; Commodity price indexes; Commodity price fluctuations; Global;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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