EconPapers    
Economics at your fingertips  
 

Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S

Matthias Gubler () and Matthias Hertweck ()

Working papers from Faculty of Business and Economics - University of Basel

Abstract: This paper develops a 9-dimensional SVAR to investigate the sources of the U.S. business cycle. We extend the standard set of identified shocks to include unexpected changes in commodity prices. Our main result is that commodity price shocks are a very important driving force of macroeconomic fluctuations, second only to investment-specific technology shocks. In particular, we find that commodity price shocks explain a large share of cyclical movements in inflation. Neutral technology shocks and monetary policy shocks seem less relevant at business cycle frequencies. The impulse response dynamics provide support for medium-scale DSGE models, but not for strong price rigidities.

Keywords: business cycles; commodity price shocks; structural VAR (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 Q43 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-bec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://edoc.unibas.ch/28159/1/DP_gubler-hertweck-2011_01.pdf (application/pdf)

Related works:
Journal Article: Commodity price shocks and the business cycle: Structural evidence for the U.S (2013) Downloads
Working Paper: Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S (2013) Downloads
Working Paper: Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bsl:wpaper:2011/05

Access Statistics for this paper

More papers in Working papers from Faculty of Business and Economics - University of Basel Contact information at EDIRC.
Bibliographic data for series maintained by WWZ ().

 
Page updated 2020-06-02
Handle: RePEc:bsl:wpaper:2011/05