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

摘要

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.