Commodity Exports, Financial Frictions and International Spillovers
Romain Houssa,
Jolan Mohimont and
Christopher Otrok
No 419, Globalization Institute Working Papers from Federal Reserve Bank of Dallas
Abstract:
This paper offers a solution to the international co-movement puzzle found in open-economy macroeconomic models. We develop a small open-economy (SOE) dynamic stochastic general equilibrium (DSGE) model describing three endogenous channels that capture spillovers from the world to a commodity exporter: a world commodity price channel, a domestic commodity supply channel and a financial channel. We estimate our model with Bayesian methods on two commodity-exporting SOEs, namely Canada and South Africa. In addition to explaining international business cycle synchronization, the new model attributes an important fraction of business cycle fluctuations to foreign shocks in the SOEs.
Keywords: international spillovers; commodities; financial frictions; small open economy; DSGE; Bayesian; monetary policy (search for similar items in EconPapers)
JEL-codes: C33 C51 E3 E43 E52 (search for similar items in EconPapers)
Pages: 45
Date: 2022-12-17
New Economics Papers: this item is included in nep-dge, nep-fdg, nep-int and nep-opm
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Related works:
Journal Article: Commodity exports, financial frictions, and international spillovers (2023) 
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:95404
DOI: 10.24149/gwp419
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