Template-type: ReDIF-Paper 1.0
Author-Name: Dr. Matthias Gubler
Author-Name-First: Matthias
Author-Name-Last: Gubler
Author-Person: pgu469
Author-Name: Matthias S. Hertweck
Author-Name-First: Matthias S.
Author-Name-Last: Hertweck
Author-Person: phe182
Title: Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S.
Abstract: This paper evaluates the relative importance of commodity price shocks in the U.S. business cycle. Therefore, we extend the standard set of business cycle shocks to include unexpected changes in commodity prices. The resulting SVAR shows that commodity price shocks are a very important driving force of macroeconomic fluctuations - second only to investment-specific technology shocks - particularly with respect to inflation. Neutral technology shocks and monetary policy shocks, on the other hand, seem less relevant at business cycle frequencies. Neutral technology shocks rather play an important role at low frequencies.
Length: 54 pages
Creation-Date: 2013
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2013/working_paper_2013_05
File-Format: text/html
Number: 2013-05
Classification-JEL: C32, E32, E52, Q43
Keywords: business cycles, commodity price shocks, structural VAR
Handle: RePEc:snb:snbwpa:2013-05