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Commodity prices and the business cycle in Latin America: Living and dying by commodities

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Author Info

  • Maximo Camacho

    ()
    (Universidad de Murcia)

  • Gabriel Perez-Quiros

    ()
    (Banco de España and CEPR)

Abstract

We analyze the dynamic interactions between commodity prices and output growth of the seven biggest Latin American exporters: Argentina, Brazil, Colombia, Chile, Mexico, Peru and Venezuela. Using a novel defi nition of Markovswitching impulse response functions, we fi nd that the response of their respective output growth to commodity price shocks is time-dependent, size-dependent and sign-dependent. Overall, the major evidence of asymmetries in output growth responses occurs when commodity price shocks lead to regime shifts. Accordingly, we consider that the design of optimal counter-cyclical stabilization policies in this region should take into account that the reactions of economic activity vary considerably across business cycle regimes.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/13/Fich/dt1304e.pdf
File Function: First version, February 2013
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 1304.

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Length: 49 pages
Date of creation: Feb 2013
Date of revision:
Handle: RePEc:bde:wpaper:1304

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Keywords: commodities; business cycle; non linearities;

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Cited by:
  1. Frédéric Karamé, 2012. "An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne 12-04, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  2. Ercio Muñoz S. & Mariel C. Siravegna, 2013. "¿Tiene un Impacto el Precio de las Materias Primas Sobre las Bolsas de América Latina?," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 16(3), pages 102-118, December.

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