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 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 Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices

2021 ◽  
Author(s):  
Chiara Casoli ◽  
Riccardo (Jack) Lucchetti
Keyword(s):  
Factor Model ◽  
Commodity Prices ◽  
Standard Technique ◽  
Factor Models ◽  
Monte Carlo Experiment ◽  
Dynamic Factor ◽  
Dynamic Factor Models ◽  
Common Component ◽  
Stable Pattern

Abstract We propose a cointegration-based Permanent-Transitory decomposition for non-stationary Dynamic Factor Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a common and an idiosyncratic component. The common component is further split into a long-term non-stationary and a short-term stationary part. A Monte Carlo experiment shows that incorporating the cointegration structure into the DFM leads to a better reconstruction of the space spanned by the factors, compared to the most standard technique of applying a factor model in differenced systems. We apply our procedure to a set of commodity prices to analyse the comovement among different markets and find that commodity prices move together mostly due to long-term common forces; while the trend for the prices of most primary goods is declining, metals and energy exhibit an upward or at least stable pattern since the 2000s.

scholarly journals Globalisation effect measure via hierarchical dynamic factor modelling

Equilibrium ◽  
2015 ◽  
Vol 10 (3) ◽  
pp. 139
Author(s):  
Agne Reklaite
Keyword(s):  
Global Economy ◽  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
International Trends ◽  
Effect Measure ◽  
Global Shocks ◽  
The Growth Of Economy ◽  
Over Time

In this paper the issue of globalisation and deteriorating precision of domestically oriented frameworks is addressed. A hypothesis that the effect of international trends on the growth of economy is increasing over time is formed. In order to validate this, a method of composing foreign series with local indicators in a hierarchical dynamic factor model is presented. The novelty of this approach is that globalisation effect is measured focusing on prediction rather than similarity. This way the measure presents the country's sensitivity to global shocks and reveals how much focal country's economy is intertwined with global economy. The application was performed on the basis of Lithuanian data and the hypothesis was validated. The results indicate that globalisation effect has an increasing effect over time.

A Factor Model for Co-Movements of Commodity Prices

CFA Digest ◽  
2014 ◽  
Vol 44 (7) ◽  
Author(s):  
Vipul K. Bansal
Keyword(s):  
Factor Model ◽  
Commodity Prices

scholarly journals A Dynamic Factor and Neural Networks Analysis of the Co-movement of Public Revenues in the EMU

2021 ◽  
Author(s):  
Cosimo Magazzino ◽  
Marco Mele
Keyword(s):  
Neural Networks ◽  
Factor Model ◽  
Common Factor ◽  
Back Propagation ◽  
Dynamic Factor ◽  
Common Component ◽  
Economic Cycles ◽  
Composite Nature ◽  
Empirical Demonstration ◽  
Public Revenues

AbstractThis paper shows that the co-movement of public revenues in the European Monetary Union (EMU) is driven by an unobserved common factor. Our empirical analysis uses yearly data covering the period 1970–2014 for 12 selected EMU member countries. We have found that this common component has a significant impact on public revenues in the majority of the countries. We highlight this common pattern in a dynamic factor model (DFM). Since this factor is unobservable, it is difficult to agree on what it represents. We argue that the latent factor that emerges from the two different empirical approaches used might have a composite nature, being the result of both the more general convergence of the economic cycles of the countries in the area and the increasingly better tuned tax structure. However, the original aspect of our paper is the use of a back-propagation neural networks (BPNN)-DF model to test the results of the time-series. At the level of computer programming, the results obtained represent the first empirical demonstration of the latent factor’s presence.

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