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

Maximo Camacho and Gabriel Perez-Quiros ()
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Gabriel Perez-Quiros: Banco de España and CEPR
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

No 1304, Working Papers from Banco de España

Abstract: We analyze the dynamic interactions between commodity prices and output growth of the seven biggest Latin American exporters: Argentina, Brazil, Colombia, Chile, Mexico, Peru and Venezuela. Using a novel defi nition of Markovswitching impulse response functions, we fi nd that the response of their respective output growth to commodity price shocks is 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 economic activity vary considerably across business cycle regimes.

Keywords: commodities; business cycle; non linearities (search for similar items in EconPapers)
JEL-codes: E32 F44 Y (search for similar items in EconPapers)
Pages: 49 pages
Date: 2013-02
New Economics Papers: this item is included in nep-lam
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Citations: View citations in EconPapers (2)

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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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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1304

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