Essays on commodity price shocks and macroeconomic variables

• Ano de defesa: 2019
• Autor(a) principal: Souza, Rodrigo da Silva
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Instituição de defesa: Universidade Federal de Viçosa
• Palavras-chave em Português: Taxas de Câmbio; Economia - Países em desenvolvimento; China; Economia Internacional
• Link de acesso: https://locus.ufv.br//handle/123456789/27490

Swings in world commodity prices are an important driver of macroeconomic variables in commodity-exporting emerging market economies, such as output, real exchange rate and inflation. In this thesis, we look at the Brazilian case. The first essay addresses the relationship between world commodity prices and the Brazilian real exchange rate, focusing on factors that potentially change the intensity of this relationship, such as trade openness, commodity export dependency, international financial market volatility and country risk situation. The main result shows that the real exchange rate response to real commodity price shocks depends on the trade openness and the country risk situation. The second essay empirically addresses the hypothesis of that in the external commodity based sector, Chinese resource demand is the most important driver of emerging market economies’ business cycles, using Brazil as a representative case. Specifically, we examine the effects of Chinese resource demand, world commodity prices and foreign output on domestic macroeconomic variables. Our key findings show that shocks to Chinese demand induce an expansion in the Brazilian resource exports, in the non-tradeable primary commodity sector and in other domestic activity. Commodity price shocks are less favourable than Chinese resource demand shocks. Our findings identify the important role of the interest rate in amplifying the real effects of the commodity sector boom, in contrast to the role of the interest rate in developed countries. When both Chinese resource demand and commodity prices are incorporated into the model, commodity prices play a smaller role in explaining the variance of domestic output than that found in the previous literature.