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Emerging economies business cycles: The role of commodity terms of trade news

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorBen Zeev, Nadav
dc.contributor.authorPappa, Evi
dc.contributor.authorVicondoa, Alejandro
dc.date.accessioned2022-05-11T16:08:47Z
dc.date.available2022-05-11T16:08:47Z
dc.date.issued2017-09-01
dc.description.abstractRecent empirical work has challenged the hypothesis that terms-of-trade shocks are an important source of cyclical fluctuations in emerging economies. We show that ignoring the news component in the terms-of-trade movements results in misleading conclusions about their importance as a source of cyclical fluctuations. Using a sample of Latin American countries, we identify news-augmented Commodity-terms-of-trade (CTOT) shocks by maximizing the forecast error variance share of the CTOT series at a finite future horizon. Our identification does not rely on zero impact restrictions typically used in the literature for recovering news shocks. Accounting for news almost doubles the contribution of CTOT to explain cyclical fluctuations: news-augmented CTOT shocks explain almost half of output variations in emerging economies.en
dc.identifier.bibliographicCitationBen Zeev, N., Pappa, E., & Vicondoa, A. (2017). Emerging economies business cycles: the role of commodity terms of trade news. Journal of International Economics, 108, pp. 368-376.es
dc.identifier.doihttps://doi.org/10.1016/j.jinteco.2017.07.008
dc.identifier.issn0022-1996
dc.identifier.publicationfirstpage368es
dc.identifier.publicationlastpage376es
dc.identifier.publicationtitleJOURNAL OF INTERNATIONAL ECONOMICSes
dc.identifier.publicationvolume108es
dc.identifier.urihttps://hdl.handle.net/10016/34779
dc.identifier.uxxiAR/0000029317
dc.language.isoenges
dc.publisherElsevieres
dc.rights© 2017 Elsevier B.V. All rights reserved.es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEconomíaes
dc.subject.jelE32
dc.subject.jelF41
dc.subject.otherCommodity terms of tradeen
dc.subject.otherBusiness cyclesen
dc.subject.otherNews shocksen
dc.subject.otherMaximum forecast error varianceen
dc.subject.otherSmall open economyen
dc.titleEmerging economies business cycles: The role of commodity terms of trade newsen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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