Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies

Citation data:

Banco de la Republica de Colombia, Borradores de Economia, No: 915

Publication Year:
Usage 543
Abstract Views 383
Downloads 157
Clicks 3
Social Media 4
Tweets 3
Shares, Likes & Comments 1
Citations 3
Citation Indexes 3
Reddit 4
Repository URL:
RePec URLs:;;;;;
Fernández, Andrés; González-Gómez, Andrés; Rodríguez-Guzmán, Diego Arturo
Banco de la República
Business cycles;Commodity prices;Emerging economies, common factors, Bayesian estimation, dynamic stochastic equilibrium models, commodity, prices, price, commodity price, Open Economy Macroeconomics, International Business Cycles, All Countries, dynamic stochastic equilibrium models.,; Emerging economies, business cycles, commodity prices, common factors, Bayesian estimation, dynamic stochastic equilibrium models.; E32 - Business Fluctuations; Cycles; F41 - Open Economy Macroeconomics; F44 - International Business Cycles; Emerging economies; Business cycles; Commodity prices; Common factors; Bayesian estimation; Dynamic stochastic equilibrium models; Ciclos económicos -- Países emergentes -- 1992-2014; Economías emergentes --1992-2014; Precios de productos básicos -- Países emergentes -- 1992-2014; F41 - Macroeconomía de la economía abierta; F44 - Ciclos económicos internacionales; E32 - Fluctuaciones económicas; Ciclos; common factors; dynamic stochastic equilibrium models; commodity; prices; price; commodity price; Open Economy Macroeconomics; International Business Cycles; All Countries; dynamic stochastic equilibrium models.
Most Recent Tweet View All Tweets
paper description
Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). We document how these fluctuations correlate strongly with the business cycle in EMEs. We then embed a commodity sector into a multi-country EMEs’ business cycle model where exogenous fluctuations in commodity prices follow a common dynamic factor structure and coexist with other driving forces. The estimated model assigns to commodity shocks 42 percent of the variance in income, of which a considerable part is linked to the common factor. A further amplification mechanism is a ”spillover” effect from commodity prices to risk premia.