@article{6b87e02311044b2f8512ae12931fda65,
title = "Commodity exports, financial frictions, and international spillovers",
abstract = "This paper offers a solution to the international co-movement puzzle found in open-economy macroeconomic models. We develop a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model describing three endogenous channels that capture spillovers from the world to a commodity exporter: a world commodity price channel, a domestic commodity supply channel, and a financial channel. We estimate our model with Bayesian methods on two commodity-exporting SOEs, namely Canada and South Africa. In addition to explaining international business cycle synchronization, the new model attributes an important fraction of business cycle fluctuations to foreign shocks in the SOEs.",
keywords = "Bayesian, Commodities, DSGE, Financial frictions, Foreign shocks, International spillovers, Monetary policy, Small-open economy",
author = "Romain Houssa and Jolan Mohimont and Christopher Otrok",
note = "Funding Information: We are grateful to our editor Florin O. Bilbiie, the associate editor Gert Peersman, and two anonymous referees for their guidance and valuable suggestions throughout the revision process. We are also grateful to Raf Wouters, Gregory de Walque, Arnoud Stevens, Thomas Lejeune, Bruno De Backer, Olivier Hubert, Nicola Viegi, Jean-Marie Baland, Yuliya Rychalovska and Paul Reding for their helpful comments. We also thank participants at various workshops, seminars, and conferences: Doctoral Workshop in St Louis (Brussels, October 2015), Cerefim Workshop (Namur, October 2015), Cred Workshop (Namur, November 2015), CESifo-Area Conference on Macro, Money and International Finance (Munich, February 2016), Spring Meeting of Young Economists (Lisbon, April 2016), NBB internal Seminar (Brussels, October 2016), European Economic Association (Lisbon, August 2017), Belgian Macroeconomics Workshop (Namur, September 2017), Seminars at the Birmingham Business School (November 2017), the Department of Economics of the University of Pretoria (December 2017), the Research Department of the South African Reserve Bank (December 2017), the Theories and Methods in Macroeconomics Conference-T2M (March 2018), and the 6th Annual Monetary Economics Workshop (Pretoria, November 2018). Romain Houssa acknowledges support from the South African Reserve Bank (SARB) and the Economic Research Southern Africa (ERSA) . This work was also supported by the Fonds de la Recherche Scientifique - FNRS under Grant number 33665820 and Excellence of Science (EOS) Research project of FNRS number O020918F . An earlier draft of this paper was entitled “Empirical Framework for Macroeconomic Policies in Emerging Markets”. Funding Information: We are grateful to our editor Florin O. Bilbiie, the associate editor Gert Peersman, and two anonymous referees for their guidance and valuable suggestions throughout the revision process. We are also grateful to Raf Wouters, Gregory de Walque, Arnoud Stevens, Thomas Lejeune, Bruno De Backer, Olivier Hubert, Nicola Viegi, Jean-Marie Baland, Yuliya Rychalovska and Paul Reding for their helpful comments. We also thank participants at various workshops, seminars, and conferences: Doctoral Workshop in St Louis (Brussels, October 2015), Cerefim Workshop (Namur, October 2015), Cred Workshop (Namur, November 2015), CESifo-Area Conference on Macro, Money and International Finance (Munich, February 2016), Spring Meeting of Young Economists (Lisbon, April 2016), NBB internal Seminar (Brussels, October 2016), European Economic Association (Lisbon, August 2017), Belgian Macroeconomics Workshop (Namur, September 2017), Seminars at the Birmingham Business School (November 2017), the Department of Economics of the University of Pretoria (December 2017), the Research Department of the South African Reserve Bank (December 2017), the Theories and Methods in Macroeconomics Conference-T2M (March 2018), and the 6th Annual Monetary Economics Workshop (Pretoria, November 2018). Romain Houssa acknowledges support from the South African Reserve Bank (SARB) and the Economic Research Southern Africa (ERSA). This work was also supported by the Fonds de la Recherche Scientifique - FNRS under Grant number 33665820 and Excellence of Science (EOS) Research project of FNRS number O020918F. An earlier draft of this paper was entitled “Empirical Framework for Macroeconomic Policies in Emerging Markets”. Publisher Copyright: {\textcopyright} 2023",
year = "2023",
month = sep,
doi = "10.1016/j.euroecorev.2023.104465",
language = "English",
volume = "158",
journal = "European Economic Review",
issn = "0014-2921",
publisher = "Elsevier",
number = "104465",
}