scholarly journals CHINA'S ROLE IN GLOBAL INFLATION DYNAMICS

2016 ◽  
Vol 22 (2) ◽  
pp. 225-254 ◽  
Author(s):  
Sandra Eickmeier ◽  
Markus Kühnlenz
Keyword(s):  
Factor Model ◽  
Supply And Demand ◽  
Commodity Prices ◽  
Set Covering ◽  
Dynamic Factor ◽  
Data Set ◽  
Structural Dynamic ◽  
Inflation Dynamics ◽  
Demand Shocks ◽  
Supply And Demand Shocks

We apply a structural dynamic factor model to a large quarterly data set covering 38 countries between 2002 and 2011 to analyze China's role in global inflation dynamics. We identify Chinese supply and demand shocks and examine their contributions to global price dynamics and the transmission mechanism. Our main findings are as follows: (i) Chinese supply and demand shocks affect prices in other countries significantly. Demand shocks matter slightly more than supply shocks. Producer prices tend to be more strongly affected than consumer prices by Chinese shocks. The overall share of international inflation explained by Chinese shocks is notable (about 6 percent on the average over all countries but not more than 13 percent in each region). (ii) Direct channels (via import and export prices) and indirect channels (via greater exposure to foreign competition and commodity prices) both matter. (iii) Differences in trade and in commodity exposure help explain cross-country differences in price responses.

scholarly journals 150 YEARS OF BOOM AND BUST: WHAT DRIVES MINERAL COMMODITY PRICES?

2016 ◽  
Vol 22 (3) ◽  
pp. 702-717 ◽  
Author(s):  
Martin Stuermer
Keyword(s):  
Supply And Demand ◽  
Commodity Prices ◽  
Data Set ◽  
Demand Shocks ◽  
Supply Shocks ◽  
Supply And Demand Shocks ◽  
Novel Approach ◽  
Long Run ◽  
Mineral Commodity ◽  
Boom And Bust

This paper provides long-run evidence on the dynamic effects of supply and demand shocks on commodity prices. I assemble and analyze a new data set of price and production levels of copper, lead, tin, and zinc from 1840 to 2014. Using a novel approach to identification, I show that price fluctuations are primarily driven by demand, rather than supply shocks. Demand shocks affect the price for up to 15 years, whereas the effect of mineral supply shocks persists for up to 5 years. Price surges caused by rapid industrialization are a recurrent phenomenon throughout history. Mineral commodity prices return to their declining or stable trends in the long run.

scholarly journals The Effects of Global Shocks on Small Commodity-Exporting Economies: Lessons from Canada

2014 ◽  
Vol 6 (2) ◽  
pp. 207-237 ◽  
Author(s):  
Valery Charnavoki ◽  
Juan J. Dolado
Keyword(s):  
Factor Model ◽  
Empirical Studies ◽  
Commodity Prices ◽  
Dutch Disease ◽  
Dynamic Factor ◽  
Structural Dynamic ◽  
Global Shocks ◽  
Disease Effect ◽  
Macro Variables ◽  
Domestic Economies

We propose a structural dynamic factor model of a small commodity-exporting economy, using Canada as a representative case study. Combining large panel datasets of the global and domestic economies, sign restrictions are used to identify relevant demand and supply shocks that explain volatility in real commodity prices. We quantify their dynamic effects on a wide variety of Canadian macro variables. We are able to reproduce all the main stylized features at business-cycle frequencies documented in the literature on this type of economies. These include a Dutch disease effect which has proven hard to find in empirical studies. (JEL E32, F14, F32, F43, F44, Q02, Q33)

scholarly journals Policy and Business Cycle Shocks: A Structural Factor Model Representation of the US Economy

2021 ◽  
Vol 14 (8) ◽  
pp. 371
Author(s):  
Mario Forni ◽  
Luca Gambetti
Keyword(s):  
Factor Model ◽  
Supply And Demand ◽  
Aggregate Demand ◽  
Dynamic Factor ◽  
Structural Representation ◽  
Demand Shocks ◽  
Us Economy ◽  
Long Run ◽  
The Us ◽  
Policy Shocks

We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock specification, we identify, using sign restrictions, two policy shocks, monetary and fiscal, and two non-policy shocks, demand and supply. We obtain the following results. (ii) Both supply and demand shocks are important sources of fluctuations; supply prevails for GDP, while demand prevails for employment and inflation. (ii) Monetary and fiscal policy shocks have sizable effects on output and prices, with no evidence of crowding-out of private aggregate demand components; both monetary and fiscal authorities implement important systematic countercyclical policies reacting to demand shocks. (iii) Negative demand shocks have a large long-run positive effect on productivity, consistently with the Schumpeterian “cleansing” view of recessions.

scholarly journals The interplay of supply and demand shocks: measuring potential output in the COVID-19 pandemic

2021 ◽  
Vol 45 (4) ◽  
pp. 459-493
Author(s):  
Lovorka Grguric ◽  
◽  
Ozana Nadoveza Jelic ◽  
Nina Pavic ◽  
◽  
...  
Keyword(s):  
Supply And Demand ◽  
Demand Shocks ◽  
Potential Output ◽  
Supply And Demand Shocks
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