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 greatest exporters Latin American countries: Argentina, Brazil, Colombia, Chile, Mexico, Peru and Venezuela. Using a novel definition of Markov-switching impulse response functions, we find that the responses of their respective output growths to commodity price shocks are 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 the economic activity vary considerably across business cycle regimes.
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 9367.
Date of creation: Feb 2013
Date of revision:
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Other versions of this item:
- Maximo Camacho & Gabriel Perez-Quiros, 2013. "Commodity prices and the business cycle in Latin America: Living and dying by commodities," Banco de Espaï¿½a Working Papers 1304, Banco de Espa�a.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-13 (All new papers)
- NEP-LAM-2013-04-13 (Central & South America)
- NEP-MAC-2013-04-13 (Macroeconomics)
You can help add them by filling out this form.
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- Frédéric Karamé, 2012.
"An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR,"
Documents de recherche
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, vol. 117(1), pages 230-234.
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