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Artigos • Rev. Bras. Econ. 76 (3) • Jul-Sep 2022 • https://doi.org/10.5935/0034-7140.20220014   copy

Global shocks in emerging economies: An empirical investigation* * A longer working paper version is available at https://econpapers.repec.org/paper/cdptexdis/td623.htm under the title “Global shocks and emerging economies: disentangling the commodity roller coaster”. We are grateful to Tao Zha and Daniel Waggoner (see Zha, 2000) for sharing their codes, and for the editor and the anonymous referee for their valuable suggestions. All errors are ours.

Authorship SCIMAGO INSTITUTIONS RANKINGS

Resumo

Shocks in commodity prices are viewed as a major driver of emerging economies’ business cycle. We show this is not the case for Brazil, Chile, Colombia, and Peru when a structural vector autoregressive model accounts for macro-finance linkages at world and domestic levels. The presence of a global financial variable modifies established results as it endogenously influences commodity prices. Global demand shocks have been the main external driver of the business cycle in Brazil, Chile, and Peru, while global economic uncertainty shocks have been the main international driver of the Colombian GDP.

Keywords
Global shocks; business cycle; uncertainty; commodity price; sovereign risk; SVAR

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