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Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S

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  • Matthias Gubler
  • Matthias S. Hertweck

Abstract

This paper evaluates the relative importance of commodity price shocks in the U.S. business cycle. Therefore, we extend the standard set of business cycle shocks to include unexpected changes in commodity prices. The resulting SVAR shows that commodity price shocks are a very important driving force of macroeconomic fluctuations - second only to investment-specific technology shocks - particularly with respect to inflation. Neutral technology shocks and monetary policy shocks, on the other hand, seem less relevant at business cycle frequencies. Neutral technology shocks rather play an important role at low frequencies.

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Bibliographic Info

Paper provided by Swiss National Bank in its series Working Papers with number 2013-05.

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Length: 54 pages
Date of creation: 2013
Date of revision:
Handle: RePEc:snb:snbwpa:2013-05

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Keywords: business cycles; commodity price shocks; structural VAR;

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Cited by:
  1. Radoslaw Kurach, 2012. "Stocks, Commodities and Business Cycle Fluctuations – Seeking the Diversification Benefits," Equilibrium, Uniwersytet Mikolaja Kopernika, vol. 7, pages 101-116.
  2. Jun Nagayasu, 2013. "A dynamic factor approach to domestic capital mobility," Empirical Economics, Springer, vol. 44(2), pages 685-700, April.
  3. Gospodinov, Nikolay & Jamali, Ibrahim, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," Working Paper 2013-12, Federal Reserve Bank of Atlanta.

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