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The Macroeconomic Response to Real and Financial Factors, Commodity Prices, and Monetary Policy: International Evidence

Author

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  • Pierre L. Siklos

    (Wilfrid Laurier University and Balsillie School of International Affairs, Waterloo, ON, CANADA.)

Abstract

This study estimates a variety of small dynamic factor macro models where the factors are time-varying. Different assumptions are made about the long-run impact of these shocks, including allowing commodity price shocks to alternatively be exogenous or endogenous. The sample consists of 20 economies around the world. It includes the most globally systemically important economies as well as 6 SEACEN member economies. Using quarterly data since the late 1990s I find that the focus of some policy makers on the spillovers of monetary shocks is exaggerated. Four separate types of shocks are identified, and these can easily offset each other with a neutral overall economic impact on the domestic economies investigated here. Nevertheless, it does appear resource rich economies including some of the SEACEN members in this category, tend to suffer a net economic loss from spillovers that originate in the US. Equally important, examining the interaction of real, financial, monetary and commodity shocks is improved when the various factors are time-varying.

Suggested Citation

  • Pierre L. Siklos, 2018. "The Macroeconomic Response to Real and Financial Factors, Commodity Prices, and Monetary Policy: International Evidence," Working Papers wp35, South East Asian Central Banks (SEACEN) Research and Training Centre.
    • Handle: RePEc:sea:wpaper:wp35
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    References listed on IDEAS

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    Cited by:

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    2. Kyei, Collins Baffour & Cantah, William Godfred & Junior Owusu, Peterson, 2023. "Effect of commodity prices on financial soundness; insight from adaptive market hypothesis in the Ghanaian setting," Resources Policy, Elsevier, vol. 86(PA).

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    More about this item

    Keywords

    SEACEN; Commodity Prices; Dynamic Factor Models; Time-Varying Estimates;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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