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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LICENSE.txt | text/plain | 14.6 KB | 10/12/2019 06:00:PM |
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:
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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:
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Commodity-Exporting Economies;
FAVAR
JEL Classification:
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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
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:
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Canada,
U.S.,
OECD
Time Period(s):
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1975 – 2010 (1975Q1 - 2010Q4)
Data Type(s):
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program source code;
aggregate data
Methodology
Data Source:
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CANSIM, OECD, FRED2, BIS
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