Commodity price shocks and the business cycle Structural evidence for the U.S.pdf.pdf

Journal of International Money and Finance 37 (2013) 324–352
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Journal of International Money
and Finance
journal homepage: ate/jimf
Commodity price shocks and the business cycle:
Structural evidence for the
Matthias Gubler a,1, Matthias S. Hertweck b,*,2
a Swiss National Bank, Börsenstrasse 15, . Box, 8022 Zürich, Switzerland
b University of Konstanz, Department of Economics, Box 145, 78457 Konstanz, Germany
abstract
JEL classifications: This paper evaluates the relative importance modity price
C32 shocks in the . business cycle. Therefore, we extend the stan-
E32 dard set of business cycle shocks to include unexpected changes in
modity prices. The resulting SVAR shows modity
Q43
price shocks are a very important driving force of macroeconomic
Keywords: fluctuations d second only to investment-specific technology
Business cycles shocks d particularly with respect to inflation. Neutral technology
Commodity price shocks shocks and ary policy shocks, on the other hand, seem less
Structural VAR relevant at business cycle frequencies. Neutral technology shocks
rather play an important role at low frequencies.
Ó 2013 Elsevier Ltd. All rights reserved.
q
Without implication, we would like to thank Ralf Brüggemann, Patrick Bunk, Jesús Fernández-Villaverde, Christian Glocker,
Christian Kascha, Robert G. King, Marco Lombardi, Ghalib Minhas, Alexander Perruchoud, Fabien Rondeau, Rolf Scheufele,
Almuth Scholl, Frank Schorfheide, Atılım Seymen, Konstantinos Theodoridis, Sebastian Watzka, Attilio ti, and two
anonymous referees, as well as conference participants at DIW Berlin, RGS Dortmund, ifo Dresden, VfS Frankfurt, IWH-CIREQ
Halle, ICMAIF Rethymno, CEF San Francisco, SOLE Vancouver, and seminar audiences at the Bank of England, Essex, IAB Nur-
emberg, JLU Gieben, LMU Munich, Penn, and Zurich (KOF-ETH-UZH) for ments and suggestions; and ardo
DiCecio for kindly sharing his data. Her