Commodity price shocks and macroeconomic dynamics

Ruthira Naraidoo and Juan Paez-Farrell

No 2022008, Working Papers from The University of Sheffield, Department of Economics

Abstract: We analyse the transmission mechanism of commodity price shocks in emerging economies. Using a panel vector autoregression, we find that the shock leads to a real exchange rate appreciation, increases in output, inflation the nominal interest rate and the trade balance, and a fall in the unemployment rate. The transmission mechanism can be understood using a dynamic stochastic general equilibrium model of a small commodity-exporting open economy with nominal as well as search and matching frictions. We find that the conduct of monetary policy is key to both the variables’ dynamics as well as to the magnitude of Dutch disease effects.

Keywords: Commodity prices; emerging markets; inflation; monetary policy; search and matching; unemployment; Dutch disease; DSGE modelling (search for similar items in EconPapers)
JEL-codes: E31 E32 E44 E52 E61 F42 O11 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2022-05
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac, nep-mon and nep-opm
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.sheffield.ac.uk/economics/research/serps First version, May 2022 (application/pdf)

Related works:
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:shf:wpaper:2022008

Access Statistics for this paper

More papers in Working Papers from The University of Sheffield, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Mike Crabtree ().