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The Transmission of Exogenous Commodity and Oil Prices shocks to Latin America - A Panel VAR approach

Author

Listed:
  • Gondo, Rocío

    (Banco Central de Reserva del Perú)

  • Pérez, Fernando

    (Banco Central de Reserva del Perú)

Abstract

During the last sixteen years, we have experienced an episode of commodity price boom and bust. Despite being exogenous to Latin America, commodity and oil price shocks are extremely relevant for explaining macroeconomic fluctuations. Thus, in this paper we assess the dynamic impact of these price fluctuations for relevant macroeconomic and financial variables for commodity exporting countries in the region (Chile, Colombia, Mexico and Peru) using a Bayesian Hierarchical Panel VAR with an exogenous block. This model is more flexible and less restrictive than a stylized DSGE model. We quantify the strong expansionary effect of these price shocks, and we discuss the connection with i) monetary and macro-prudential policy, ii) the financial sector and iii) the real economy. Furthermore, we observe some degree of heterogeneity across countries both in amplification and propagation patterns.

Suggested Citation

  • Gondo, Rocío & Pérez, Fernando, 2018. "The Transmission of Exogenous Commodity and Oil Prices shocks to Latin America - A Panel VAR approach," Working Papers 2018-012, Banco Central de Reserva del Perú.
  • Handle: RePEc:rbp:wpaper:2018-012
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    References listed on IDEAS

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    Cited by:

    1. Nivín, Rafael & Pérez, Fernando, 2019. "Estimación de un Índice de Condiciones Financieras para el Perú," Working Papers 2019-006, Banco Central de Reserva del Perú.

    More about this item

    Keywords

    Panel Vector Autoregressions; Exogenous Block; Bayesian Estimation; Commodity Prices;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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