The Transmission of Exogenous Commodity and Oil Prices shocks to Latin America - A Panel VAR approach

Rocio Gondo Mori and Fernando Pérez Forero ()

No 2018-012, Working Papers from Banco Central de Reserva del Perú

Abstract: During the last sixteen years, we have experienced an episode of commodity price boom and bust. Despite being exogenous to Latin America, commodity and oil price shocks are extremely relevant for explaining macroeconomic fluctuations. Thus, in this paper we assess the dynamic impact of these price fluctuations for relevant macroeconomic and financial variables for commodity exporting countries in the region (Chile, Colombia, Mexico and Peru) using a Bayesian Hierarchical Panel VAR with an exogenous block. This model is more flexible and less restrictive than a stylized DSGE model. We quantify the strong expansionary effect of these price shocks, and we discuss the connection with i) monetary and macro-prudential policy, ii) the financial sector and iii) the real economy. Furthermore, we observe some degree of heterogeneity across countries both in amplification and propagation patterns.

Keywords: Panel Vector Autoregressions; Exogenous Block; Bayesian Estimation; Commodity Prices (search for similar items in EconPapers)
JEL-codes: C11 C23 E44 E52 Q02 (search for similar items in EconPapers)
Date: 2018-12
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2018-012

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