Naraidoo, R. and Paez-Farrell, J. orcid.org/0000-0003-4347-5156 (2023) Commodity price shocks, labour market dynamics and monetary policy in small open economies. Journal of Economic Dynamics and Control, 151. 104654. ISSN 0165-1889
Abstract
We analyse the transmission mechanism of commodity price shocks in inflation targeting emerging economies. Using a panel vector autoregression, we find that for a commodity exporter, the shock causes a real exchange rate appreciation, increases in output, inflation, the nominal interest rate and the trade balance, and a fall in the unemployment rate. The mechanism underlying the dynamics driving the VAR can be understood using a dynamic stochastic general equilibrium model. Search and matching frictions in the labour market and the conduct of monetary policy are key for the model to match the data.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © 2023 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/) |
Keywords: | Commodity prices; Emerging markets; Inflation; Monetary policy; Search and matching; Unemployment; Dutch disease; DSGE modelling; Bayesian impulse response matching |
Dates: |
|
Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 04 May 2023 12:34 |
Last Modified: | 04 May 2023 12:34 |
Status: | Published |
Publisher: | Elsevier BV |
Refereed: | Yes |
Identification Number: | 10.1016/j.jedc.2023.104654 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:198709 |