Commodity prices and the business cycle in Latin America: Living and dying by commodities
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 1304.
Length: 49 pages
Date of creation: Feb 2013
Date of revision:
commodities; business cycle; non linearities;
Other versions of this item:
- Maximo Camacho & Gabriel Perez-Quiros, 2014. "Commodity Prices and the Business Cycle in Latin America: Living and Dying by Commodities?," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 50(2), pages 110-137, March.
- Camacho, Maximo & Pérez-Quirós, Gabriel, 2013. "Commodity prices and the business cycle in Latin America: Living and dying by commodities?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9367, C.E.P.R. Discussion Papers.
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
- Y - Miscellaneous Categories
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Frédéric Karamé, 2012.
"An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR,"
Documents de recherche, Centre d'Ãtudes des Politiques Ãconomiques (EPEE), UniversitÃ© d'Evry Val d'Essonne
12-04, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Karamé, F., 2012. "An algorithm for generalized impulse-response functions in Markov-switching structural VAR," Economics Letters, Elsevier, Elsevier, vol. 117(1), pages 230-234.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mar�a Beiro. Electronic Dissemination of Information Unit. Research Department. Banco de Espa�a).
If references are entirely missing, you can add them using this form.