Commodity prices shocks and the balance sheet effect in Latin America

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dc.contributor.advisorTorres García, Alejandrospa
dc.contributor.authorWberth Escobar, Laura Melissa
dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.creator.degreeMagíster en Economíaspa
dc.creator.emaillmwberthe@eafit.edu.cospa
dc.date.accessioned2019-08-16T21:03:14Z
dc.date.available2019-08-16T21:03:14Z
dc.date.issued2018
dc.description.abstractEmerging market economies (EMEs), particularly the commodity exporter ones, are exposed to world’s dynamics through different channels. In this paper, we consider the role of (exogenous) commodity prices shocks in explaining business cycles in EMEs, by proposing a financial transmission mechanism: the balance sheet effect. Our hypothesis is that firm’s external debt dynamics are related to commodity prices. To test it, we estimate a series of VAR models using quarterly data on corporate external debt, nominal exchange rate, EMBI+ spreads, the local currency value of external debt to nominal GDP ratio and real GDP, covering the period 2000 􀀀 2017. We do this for Latin America and then, we focus on five particular economies: Brazil, Chile, Colombia, Mexico and Peru. We find that balance sheets do matter and they exacerbate the output’s contraction when the commodity price shock is negative. We also find that, turning the financial channel off, the real GDP cumulative response in Latin America is half smaller than in the unrestricted model. We find no evidence on the existence of the balance sheet effect for Chile.spa
dc.identifier.ddc338.54 W359
dc.identifier.urihttp://repository.eafit.edu.co/handle/10784/13750
dc.language.isospaspa
dc.publisherUniversidad EAFITspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.publisher.placeMedellínspa
dc.publisher.programMaestría en Economíaspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccessspa
dc.rights.localAcceso abiertospa
dc.subjectPreciosspa
dc.subject.lembPRECIOS DE PRODUCTOSspa
dc.subject.lembECONOMÍA DE MERCADOspa
dc.subject.lembCICLOS ECONÓMICOSspa
dc.subject.lembDEUDA EXTERNAspa
dc.titleCommodity prices shocks and the balance sheet effect in Latin Americaspa
dc.typemasterThesiseng
dc.typeinfo:eu-repo/semantics/masterThesiseng
dc.type.hasVersionacceptedVersioneng
dc.type.localTesis de Maestríaspa

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Maestría en Economía (tesis)