edoc

Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S

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.

[img]
Preview
PDF - Published Version
1066Kb

Official URL: http://edoc.unibas.ch/dok/A6070811

Downloads: Statistics Overview

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
UniBasel Contributors:Hertweck, Matthias S and Gubler, Matthias
Item Type:Working Paper
Bibsysno:Link to catalogue
Publisher:WWZ
Note: -- Publication type according to Uni Basel Research Database: Discussion paper / Internet publication
Language:English
Related URLs:
Identification Number:
  • handle: RePEc:bsl:wpaper:2011/05
Last Modified:13 Mar 2018 15:09
Deposited On:19 Jul 2013 07:40

Repository Staff Only: item control page