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

Listed author(s):
  • Matthias Gubler
  • Matthias S. Hertweck

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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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
Handle: RePEc:snb:snbwpa:2013-05
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