Gubler, Matthias and Hertweck, Matthias Sebastian . (2011) Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S. WWZ Discussion Papers, 2011 (05). Basel.
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Abstract
This paper develops a 9-dimensional SVAR to investigate the sources of the U.S. business cycle. We extend the standard set of identified shocks to include unexpected changes in commodity prices. Our main result is that commodity price shocks are a very important driving force of macroeconomic fluctuations, second only to investment-specific technology shocks. In particular, we find that commodity price shocks explain a large share of cyclical movements in inflation. Neutral technology shocks and monetary policy shocks seem less relevant at business cycle frequencies. The impulse response dynamics provide support for medium-scale DSGE models, but not for strong price rigidities.
Faculties and Departments: | 06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Wirtschaftstheorie (Berentsen) 12 Special Collections > WWZ Publications > WWZ Discussion Papers and Working Papers |
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UniBasel Contributors: | Hertweck, Matthias S and Gubler, Matthias |
Item Type: | Working Paper |
Publisher: | WWZ |
Note: | -- Publication type according to Uni Basel Research Database: Discussion paper / Internet publication |
Language: | English |
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Last Modified: | 13 Mar 2018 15:09 |
Deposited On: | 19 Jul 2013 07:40 |
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