Replication data for: The Effects of Global Shocks on Small Commodity-Exporting Economies: Lessons from Canada

Principal Investigator(s):  View help for Principal Investigator(s) Valery Charnavoki; Juan J. Dolado

Version:  View help for Version V1

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Project Citation: 

Charnavoki, Valery, and Dolado, Juan J. Replication data for: The Effects of Global Shocks on Small Commodity-Exporting Economies: Lessons from Canada. Nashville, TN: American Economic Association [publisher], 2014. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114295V1

Project Description

Summary:  View help for Summary We propose a structural dynamic factor model of a small commodity-exporting economy, using Canada as a representative case study. Combining large panel data sets of the global and do- mestic economies, sign restrictions are used to identify relevant demand and supply shocks that explain volatility in real commod- ity prices. We quantify their dynamic effects on a wide variety of Canadian macro variables. We are able to reproduce all the main stylized features at business-cycle frequencies documented in the literature on this type of economies. These include a Dutch disease effect which has proven hard to find in empirical studies.

Scope of Project

Subject Terms:  View help for Subject Terms Commodity-Exporting Economies; FAVAR
JEL Classification:  View help for JEL Classification
      E32 Business Fluctuations; Cycles
      F14 Empirical Studies of Trade
      F32 Current Account Adjustment; Short-term Capital Movements
      F43 Economic Growth of Open Economies
      F44 International Business Cycles
      Q02 Commodity Markets
      Q33 Resource Booms
Geographic Coverage:  View help for Geographic Coverage Canada, U.S., OECD
Time Period(s):  View help for Time Period(s) 1975 – 2010 (1975Q1 - 2010Q4)
Data Type(s):  View help for Data Type(s) program source code; aggregate data

Methodology

Data Source:  View help for Data Source CANSIM, OECD, FRED2, BIS

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Published Versions

V1 [2019-10-12]

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