Commodity prices and the business cycle in Latin America: Living and dying by commodities?

Pérez-Quirós, Gabriel and Maximo Camacho
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

No 9367, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We analyze the dynamic interactions between commodity prices and output growth of the seven greatest exporters Latin American countries: Argentina, Brazil, Colombia, Chile, Mexico, Peru and Venezuela. Using a novel definition of Markov-switching impulse response functions, we find that the responses of their respective output growths to commodity price shocks are time dependent, size dependent and sign dependent. Overall, the major evidence of asymmetries in output growth responses occurs when commodity price shocks lead to regime shifts. Accordingly, we consider that the design of optimal counter-cyclical stabilization policies in this region should take into account that the reactions of the economic activity vary considerably across business cycle regimes.

Keywords: Emerging markets; Non linearities (search for similar items in EconPapers)
JEL-codes: E32 F43 (search for similar items in EconPapers)
Date: 2013-02
New Economics Papers: this item is included in nep-lam and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Commodity Prices and the Business Cycle in Latin America: Living and Dying by Commodities? (2014)
Working Paper: Commodity prices and the business cycle in Latin America: Living and dying by commodities (2013)
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