Sources of emerging market business cycles: an open-economy factor-augmented VAR approach

References

• Bańbura, M., D. Giannone, and L. Reichlin. 2010. “Large Bayesian Vector Auto Regressions.” Journal of Applied Econometrics 25 (1): 71–92. doi:10.1002/jae.1137.
   Web of Science ®Google Scholar
• Baxter, M., and M. A. Kouparitsas. 2005. “Determinants of Business Cycle Comovement: A Robust Analysis.” Journal of Monetary Economics 52 (1): 113–157. doi:10.1016/j.jmoneco.2004.08.002.
   Web of Science ®Google Scholar
• Bhattarai, S., A. Chatterjee, and W. Y. Park. 2020. “Global Spillover Effects of US Uncertainty.” Journal of Monetary Economics 114: 71–89. doi:10.1016/j.jmoneco.2019.05.008.
   Web of Science ®Google Scholar
• Canova, F. 2005. “The Transmission of US Shocks to Latin America.” Journal of Applied Econometrics 20 (2): 229–251. doi:10.1002/jae.837.
   Web of Science ®Google Scholar
• Charnavoki, V., and J. J. Dolado. 2014. “The Effects of Global Shocks on Small Commodity-Exporting Economies: Lessons from Canada.” American Economic Journal: Macroeconomics 6 (2): 207–237. doi:10.1257/mac.6.2.207.
   Web of Science ®Google Scholar
• Dedola, L., G. Rivolta, and L. Stracca. 2017. “If the Fed Sneezes, Who Catches a Cold?” Journal of International Economics 108 (Supplement 1): S23–41. doi:10.1016/j.jinteco.2017.01.002.
   Google Scholar
• Drechsel, T., and S. Tenreyro. 2018. “Commodity Booms and Busts in Emerging Economies.” Journal of International Economics 112: 200–218. doi:10.1016/j.jinteco.2017.12.009.
   Web of Science ®Google Scholar
• Feldkircher, M., and F. Huber. 2016. “The International Transmission of US Shocks–Evidence from Bayesian Global Vector Autoregressions.” European Economic Review 81: 167–188. doi:10.1016/j.euroecorev.2015.01.009.
   Web of Science ®Google Scholar
• Fernández, A., A. González, and D. Rodríguez. 2018. “Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies.” Journal of International Economics 111: 99–121. doi:10.1016/j.jinteco.2017.11.008.
   Web of Science ®Google Scholar
• Fernández, A., S. Schmitt-Grohé, and M. Uribe. 2017. “World Shocks, World Prices, and Business Cycles: An Empirical Investigation.” Journal of International Economics 108 (Supplement 1): S2–14. doi:10.1016/j.jinteco.2017.01.001.
   Google Scholar
• Hoffmaister, A. W., and J. E. Roldôs. 2001. “The Sources of Macroeconomic Fluctuations in Developing Countries: Brazil and Korea.” Journal of Macroeconomics 23 (2): 213–239. doi:10.1016/S0164-0704(01)00162-8.
   Web of Science ®Google Scholar
• Kadiyala, K. R., and S. Karlsson. 1997. “Numerical Methods for Estimation and Inference in Bayesian VAR-Models.” Journal of Applied Econometrics 12 (2): 99–132. doi:10.1002/(SICI)1099-1255(199703)12:2<99:AID-JAE429>3.0.CO;2-A.
   Web of Science ®Google Scholar
• Kose, M. A., C. Otrok, and C. H. Whiteman. 2003. “International Business Cycles: World, Region, and Country-Specific Factors.” The American Economic Review 93 (4): 1216–1239. doi:10.1257/000282803769206278.
   Web of Science ®Google Scholar
• Kose, M. A., and K. -M. Yi. 2006. “Can the Standard International Business Cycle Model Explain the Relation Between Trade and Comovement?” Journal of International Economics 68 (2): 267–295. doi:10.1016/j.jinteco.2005.07.002.
   Web of Science ®Google Scholar
• Maćkowiak, B. 2007. “External Shocks, U.S. Monetary Policy and Macroeconomic Fluctuations in Emerging Markets.” Journal of Monetary Economics 54 (8): 2512–2520. doi:10.1016/j.jmoneco.2007.06.021.
   Web of Science ®Google Scholar
• Mandalinci, Z., and H. Mumtaz. 2019. “Global Economic Divergence and Portfolio Capital Flows to Emerging Markets.” Journal of Money, Credit, and Banking 51 (6): 1713–1730. doi:10.1111/jmcb.12576.
   Web of Science ®Google Scholar
• Mendoza, E. G. 1995. “The Terms of Trade, the Real Exchange Rate, and Economic Fluctuations.” International Economic Review 36 (1): 101–137. doi:10.2307/2527429.
   Web of Science ®Google Scholar
• Mumtaz, H., and P. Surico. 2009. “The Transmission of International Shocks: A Factor-Augmented VAR Approach.” Journal of Money, Credit, and Banking 41 (s1): 71–100. doi:10.1111/j.1538-4616.2008.00199.x.
   Web of Science ®Google Scholar
• Neumeyer, A., and F. Perri. 2005. “Business Cycles in Emerging Economies: The Role of Interest Rates.” Journal of Monetary Economics 52: 345–380. doi:10.1016/j.jmoneco.2004.04.011.
   Web of Science ®Google Scholar
• Rubio-Ramírez, J. F., D. F. Waggoner, and T. Zha. 2010. “Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference.” The Review of Economic Studies 77 (2): 665–696. doi:10.1111/j.1467-937X.2009.00578.x.
   Web of Science ®Google Scholar
• Schmitt-Grohé, S., and M. Uribe. 2018. “How Important are Terms-Of-Trade Shocks?” International Economic Review 59 (1): 85–111. doi:10.1111/iere.12263.
   Web of Science ®Google Scholar
• Sims, C., and T. Zha. 1999. “Error Bands for Impulse Responses.” Econometrica 67 (5): 1113–1155. doi:10.1111/1468-0262.00071.
   Web of Science ®Google Scholar
• Uribe, M., and V. Z. Yue. 2006. “Country Spreads and Emerging Countries: Who Drives Whom?” Journal of International Economics 69 (1): 6–36. doi:10.1016/j.jinteco.2005.04.003.
   Web of Science ®Google Scholar