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

Andr�s Fern�ndez, Andr�s Gonz�lez and Diego Rodr�guez
Authors registered in the RePEc Author Service: Diego Arturo Rodriguez Guzman (), Andres Gonzalez and Andrés Fernández Martin

No 14054, Borradores de Economia from Banco de la Republica

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.

Keywords: Emerging economies; business cycles; commodity prices; common factors; Bayesian estimation; dynamic (search for similar items in EconPapers)
JEL-codes: E32 F41 F44 (search for similar items in EconPapers)
Pages: 49
Date: 2015-11-18
New Economics Papers: this item is included in nep-bec, nep-dge, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Sharing a ride on the commodities roller coaster: Common factors in business cycles of emerging economies (2018)
Working Paper: Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies (2015)
Working Paper: Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies (2015)
Working Paper: Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000094:014054

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