The Macroeconomic Response to Real and Financial Factors, Commodity Prices, and Monetary Policy: International Evidence

Pierre Siklos

Working Papers from South East Asian Central Banks (SEACEN) Research and Training Centre

Abstract: This study estimates a variety of small dynamic factor macro models where the factors are time-varying. Different assumptions are made about the long-run impact of these shocks, including allowing commodity price shocks to alternatively be exogenous or endogenous. The sample consists of 20 economies around the world. It includes the most globally systemically important economies as well as 6 SEACEN member economies. Using quarterly data since the late 1990s I find that the focus of some policy makers on the spillovers of monetary shocks is exaggerated. Four separate types of shocks are identified, and these can easily offset each other with a neutral overall economic impact on the domestic economies investigated here. Nevertheless, it does appear resource rich economies including some of the SEACEN members in this category, tend to suffer a net economic loss from spillovers that originate in the US. Equally important, examining the interaction of real, financial, monetary and commodity shocks is improved when the various factors are time-varying.

Keywords: SEACEN; Commodity Prices; Dynamic Factor Models; Time-Varying Estimates (search for similar items in EconPapers)
JEL-codes: E32 E44 E52 E65 F42 (search for similar items in EconPapers)
Pages: 55 pages
Date: 2018-09
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https://www.seacen.org/publications/RePEc/702001-100445-PDF.pdf (application/pdf)

Related works:
Journal Article: The macroeconomic response to real and financial factors, commodity prices, and monetary policy: International evidence (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:sea:wpaper:wp35

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