The Effects of Global Shocks on Small Commodity-Exporting Economies: Lessons from Canada
以加拿大为例，构建结构动态因子模型，识别全球供需冲击对商品价格波动的影响，并量化其对加拿大宏观变量的动态效应，再现了此类经济体的典型周期特征，包括实证中难发现的荷兰病效应。
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.