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The macroeconomic response to real and financial factors, commodity prices, and monetary policy: International evidence

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  • Siklos, Pierre L.

Abstract

This study estimates a variety of small dynamic factor macro models where the factors are time-varying. The sample consists of 20 economies from around the world. Using quarterly data since the late 1990s, I find that the focus of some policymakers on the negative spillovers from monetary shocks is exaggerated. Four separate types of shocks are identified, and these can easily offset each other with a neutral to positive overall economic impact in some economies investigated here. However, a few economies, namely Brazil, Chile and China, experience a net economic loss from spillovers.

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  • Siklos, Pierre L., 2021. "The macroeconomic response to real and financial factors, commodity prices, and monetary policy: International evidence," Economic Systems, Elsevier, vol. 45(1).
    • Handle: RePEc:eee:ecosys:v:45:y:2021:i:1:s0939362520301680
    DOI: 10.1016/j.ecosys.2020.100850
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    Cited by:

    1. Honoré Sèwanoudé HOUNGBEDJI, 2022. "Non linéarité de la fonction de réaction de la Banque centrale des Etats de l’Afrique de l’Ouest," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 56, pages 133-157.
    2. Kyei, Collins Baffour & Cantah, William Godfred & Junior Owusu, Peterson, 2023. "Effect of commodity prices on financial soundness; insight from adaptive market hypothesis in the Ghanaian setting," Resources Policy, Elsevier, vol. 86(PA).

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    More about this item

    Keywords

    Emerging markets; Commodity prices; Dynamic factor models; Time-varying estimates;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • 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
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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