NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
loading...

World Shocks, World Prices, and Business Cycles: An Empirical Investigation

Andrés Fernández, Stephanie Schmitt-Grohé, Martín Uribe

NBER Working Paper No. 22833
Issued in November 2016
NBER Program(s):Economic Fluctuations and Growth, International Finance and Macroeconomics

Most existing studies of the macroeconomic effects of global shocks assume that they are mediated by a single intratemporal relative price such as the terms of trade and possibly an intertemporal price such as the world interest rate. This paper presents an empirical framework in which multiple commodity prices and the world interest rate transmit world disturbances. Estimates on a panel of 138 countries over the period 1960-2015 indicate that world shocks explain on average 33 percent of aggregate fluctuations in individual economies. This figure doubles when the model is estimated on post 2000 data. The increase is attributable mainly to a change in the domestic transmission mechanism as opposed to changes in the world commodity price process as argued in the literature on the financialization of world commodity markets.

download in pdf format
   (208 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w22833

Published:

Users who downloaded this paper also downloaded* these:
Han and Wei w22812 International Transmissions of Monetary Shocks: Between a Trilemma and a Dilemma
Jordà, Schularick, and Taylor w22743 Macrofinancial History and the New Business Cycle Facts
Beaudry, Galizia, and Portier w22825 Putting the Cycle Back into Business Cycle Analysis
Gilchrist, Schoenle, Sim, and Zakrajšek w22827 Inflation Dynamics During the Financial Crisis
Kaminsky w22819 International Borrowing Cycles: A New Historical Database
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us