American Economic Journal: Macroeconomics
no. 2, April 2014
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.
Charnavoki, Valery, and Juan J. Dolado.
"The Effects of Global Shocks on Small Commodity-Exporting Economies: Lessons from Canada."
American Economic Journal: Macroeconomics,
Business Fluctuations; Cycles
Empirical Studies of Trade
Current Account Adjustment; Short-term Capital Movements
Economic Growth of Open Economies
International Business Cycles
Global Commodity Markets