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

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dc.contributor.author Ben Zeev, Nadav
dc.contributor.author Pappa, Evi
dc.contributor.author Vicondoa, Alejandro
dc.date.accessioned 2022-05-11T16:08:47Z
dc.date.available 2022-05-11T16:08:47Z
dc.date.issued 2017-09-01
dc.identifier.bibliographicCitation Ben 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.
dc.identifier.issn 0022-1996
dc.identifier.uri http://hdl.handle.net/10016/34779
dc.description.abstract Recent 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.
dc.language.iso eng
dc.publisher Elsevier
dc.rights © 2017 Elsevier B.V. All rights reserved.
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Commodity terms of trade
dc.subject.other Business cycles
dc.subject.other News shocks
dc.subject.other Maximum forecast error variance
dc.subject.other Small open economy
dc.title Emerging economies business cycles: The role of commodity terms of trade news
dc.type article
dc.subject.jel E32
dc.subject.jel F41
dc.subject.eciencia Economía
dc.identifier.doi https://doi.org/10.1016/j.jinteco.2017.07.008
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 368
dc.identifier.publicationlastpage 376
dc.identifier.publicationtitle JOURNAL OF INTERNATIONAL ECONOMICS
dc.identifier.publicationvolume 108
dc.identifier.uxxi AR/0000029317
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