RDP 2013-10: Stochastic Terms of Trade Volatility in Small Open Economies References

Aguiar M and G Gopinath (2007), ‘Emerging Market Business Cycles: The Cycle is the Trend’, Journal of Political Economy, 115(1), pp 69–102.

Aiyagari SR (1994), ‘Uninsured Idiosyncratic Risk and Aggregate Saving’, The Quarterly Journal of Economics, 109(3), pp 659–684.

Andrews D and D Rees (2009), ‘Macroeconomic Volatility and Terms of Trade Shocks’, RBA Research Discussion Paper No 2009-05.

Blattman C, J Hwang and JG Williamson (2007), ‘Winners and Losers in the Commodity Lottery: The Impact of Terms of Trade Growth and Volatility in the Periphery 1870–1939’, Journal of Development Economics, 82(1), pp 156–179.

Bleaney M and D Greenaway (2001), ‘The Impact of Terms of Trade and Real Exchange Rate Volatility on Investment and Growth in Sub-Saharan Africa’, Journal of Development Economics, 65(2), pp 491–500.

Bloom N (2009), ‘The Impact of Uncertainty Shocks’, Econometrica, 77(3), pp 623–685.

Broda C (2004), ‘Terms of Trade and Exchange Rate Regimes in Developing Countries’, Journal of International Economics, 63(1), pp 31–58.

Cashin P, H Liang and CJ McDermott (2000), ‘How Persistent are Shocks to World Commodity Prices?’, IMF Staff Papers, 47(2), pp 177–217.

Christiano L, R Motto and M Rostagno (2010), ‘Financial Factors in Economic Fluctuations’, European Central Bank Working Paper No 1192.

Collier P and B Goderis (2012), ‘Commodity Prices and Growth: An Empirical Investigation’, European Economic Review, 56(6), pp 1241–1260.

Correia I, JC Neves and S Rebelo (1995), ‘Business Cycles in a Small Open Economy’, European Economic Review, 39(6), pp 1089–1113.

Corsetti G, L Dedola and S Leduc (2008), ‘International Risk Sharing and the Transmission of Productivity Shocks’, The Review of Economic Studies, 75(2), pp 443–473.

Easterly W, R Islam and JE Stiglitz (2000), ‘Shaken and Stirred: Explaining Growth Volatility’, in B Pleskovic and N Stern (eds), Annual World Bank Conference on Development Economics, The World Bank, Washington DC, pp 191–212.

Engel C and JH Rogers (2006), ‘The U.S. Current Account Deficit and the Expected Share of World Output’, Journal of Monetary Economics, 53(5), pp 1063–1093.

Fernández-Villaverde J, PA Guerrón-Quintana, K Kuester and JF Rubio-Ramírez (2012), ‘Fiscal Volatility Shocks and Economic Activity’, NBER Working Paper No 17317.

Fernández-Villaverde J, PA Guerrón-Quintana, JF Rubio-Ramírez and M Uribe (2011), ‘Risk Matters: The Real Effects of Volatility Shocks’, The American Economic Review, 101(6), pp 2530–2561.

Fernández-Villaverde J and JF Rubio-Ramírez (2007), ‘Estimating Macroeconomic Models: A Likelihood Approach’, The Review of Economic Studies, 74(4), pp 1059–1087.

Hsieh C-T and P Klenow (2009), ‘Misallocation and Manufacturing TFP in China and India’, The Quarterly Journal of Economics, 124(4), pp 1403–1448.

Jääskela JP and K Nimark (2011), ‘A Medium-Scale New Keynesian Open Economy Model of Australia’, Economic Record, 87(276), pp 11–36.

Justiniano A and B Preston (2010), ‘Can Structural Small Open-Economy Models Account for the Influence of Foreign Disturbances?’, Journal Of International Economics, 81(1), pp 61–74.

Justiniano A and GE Primiceri (2008), ‘The Time-Varying Volatility of Macroeconomic Fluctuations’, The American Economic Review, 98(3), pp 604–641.

Kim T-H, S Pfaffenzeller, T Rayner and P Newbold (2003), ‘Testing For Linear Trend With Application to Relative Primary Commodity Prices’, Journal of Time Series Analysis, 24(5), pp 539–551.

Kose MA and R Riezman (2001), ‘Trade Shocks and Macroeconomic Fluctuations in Africa’, Journal of Development Economics, 65(1), pp 55–80.

Lee J, JA List and MC Strazicich (2006), ‘Non-Renewable Resource Prices: Deterministic or Stochastic Trends?’, Journal of Environmental Economics and Management, 51(3), pp 354–370.

Macklem RT (1993), ‘Terms-Of-Trade Disturbances and Fiscal Policy in a Small Open Economy’, The Economic Journal, 103(419), pp 916–936.

Maslyuk S and R Smyth (2008), ‘Unit Root Properties of Crude Oil Spot and Future Prices’, Energy Policy, 36(7), pp 2591–2600.

Mendoza EG (1995), ‘The Terms of Trade, the Real Exchange Rate, and Economic Fluctuations’, International Economic Review, 36(1), pp 101–137.

Moreno-Brid JC, J Santamaría and JC Rivas Valdivia (2005), ‘Industrialization and Economic Growth in Mexico after NAFTA: The Road Travelled’, Development and Change, 36(6), pp 1095–1119.

Newbold P, S Pfaffenzeller and A Rayner (2005), ‘How Well are Long-Run Commodity Prices Characterized by Trend Components?’, Journal of International Development, 17(4), pp 479–494.

Powell A (1991), ‘Commodity and Developing Country Terms of Trade: What Does the Long Run Show?’, The Economic Journal, 101(409), pp 1485–1496.

Schmitt-Grohé S and M Uribe (2003), ‘Closing Small Open Economy Models’, Journal of International Economics, 61(1), pp 163–185.

Stockman AC and LL Tesar (1995), ‘Tastes and Technology in a Two-Country Model of the Business Cycle: Explaining International Comovements’, The American Economic Review, 85(1), pp 168–185.

UNCTAD (United Nations Conference on Trade and Development) (2011), UNCTAD Handbook of Statistics, United Nations, New York.

Williamson JG (2008), ‘Globalization and the Great Divergence: Terms of Trade Booms, Volatility and the Poor Periphery, 1782–1913’, European Review of Economic History, 12(3), pp 355–391.