The effects of global shocks on small commodity-exporting economies: New evidence from Canada
AbstractThis paper presents a structural dynamic factor model of a small commodity-exporting economy using Canada as a representative case study. Combining large panel data sets of the global and Canadian economies, we first identify those demand and supply shocks that explain most of the volatility in real commodity prices. Next we quantify their dynamic effects on a wide variety of variables for this economy. We are able to reproduce all the main stylized facts documented in the literature about business cycles in these countries. This includes spending and Dutch disease effects which have proven difficult to find in models where the innovations to commodity prices are not properly identified. Our results are quite robust to different identification schemes of the shocks.
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 C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 8825.
Date of creation: Feb 2012
Date of revision:
Contact details of provider:
Postal: Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-28 (All new papers)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Juan José Echavarría & Andrés González & Enrique López & Norberto Rodíguez, 2012.
"Choques internacionales reales y financieros y su impacto sobre la economía colombiana,"
Borradores de Economia
728, Banco de la Republica de Colombia.
- Juan José Echavarría & Andrés gonzález & Enrique López & Norberto Rodríguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," BORRADORES DE ECONOMIA 009884, BANCO DE LA REPÚBLICA.
- Chen, Liang & Dolado, Juan Jose & Gonzalo, Jesus, 2011.
"Detecting big structural breaks in large factor models,"
31344, University Library of Munich, Germany.
- Liang Chen & Juan Dolado & Jesus Gonzalo, 2013. "Detecting Big Structural Breaks in Large Factor Models," Economics Series Working Papers 677, University of Oxford, Department of Economics.
- Liang Chen & Juan José Dolado & Jesús Gonzalo, 2011. "Detecting big structural breaks in large factor models," Economics Working Papers we1141, Universidad Carlos III, Departamento de Economía.
- Hilde C. Bjørnland & Leif Anders Thorsrud, 2013.
"Boom or gloom? Examining the Dutch disease in a two-speed economy,"
CAMA Working Papers
2013-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hilde C. Bjørnland & Leif Anders Thorsrud, 2013. "Boom or gloom? Examining the Dutch disease in a two-speed economy," Working Papers 0015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.