Foreign Shocks

Bergholt, Drago

doi:10.2139/ssrn.2695411

Cited by 8 publications

(11 citation statements)

References 43 publications

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“…Note first that the model predicts substantial business cycle co-movement across countries. This is promising given DSGE models' limited ability to account for international business cycle synchronization (see Justiniano and Preston (2010) and Bergholt (2015)). However, the figures also reveal that some variables, in particular domestic consumption and GDP, are too persistent compared with data.…”

Section: Model Fitmentioning

confidence: 99%

“…This supply chain gives rise to substantial spillovers from the oil industry to the mainland economy. Third, to understand sectoral non-oil dynamics, we distinguish between firms in manufacturing and service sectors, which differ in terms of technologies and trade intensities as in Bouakez, Cardia, and Ruge-Murcia (2009) and Bergholt (2015). This multi-sector structure allows for a rich transmission of various disturbances related to the extraction and export of oil, including resource movement effects of the kind emphasized by Corden and Neary (1982).…”

Section: Introductionmentioning

confidence: 99%

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Business cycles in an oil economy

Bergholt¹,

Larsen²,

Seneca

2019

Journal of International Money and Finance

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BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org).

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Section: Model Fitmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Business cycles in an oil economy

Bergholt¹,

Larsen²,

Seneca

2019

Journal of International Money and Finance

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“…In this section we describe our macroeconomic model for a prototype, resource-rich economy. The model is based on that developed in a companion paper by Bergholt and Seneca (2015), which in turn builds on Bergholt (2015). At the core is a two-country version of Smets and Wouters (2007), where one country (home) is small and oil-intensive, while the other (foreign) represents the global economy.…”

Section: The Dsge Modelmentioning

confidence: 99%

“…A THE FULL MODEL Here we describe in detail the non-linear DSGE model. It is based on Bergholt and Seneca (2015), which in turn builds on Bergholt (2015). The model consists of two blocks, referred to as home and foreign.…”

Section: Online Appendix (Not For Publication)mentioning

confidence: 99%

“…3 These trade-offs are at the heart of the current policy debate in many commodity countries. Following Bergholt (2014Bergholt ( , 2015, sectoral dynamics in our model are enriched by a supply chain where mainland firms provide productive inputs to the oil industry. This supply chain, we argue, represents a new and economically important transmission channel in the literature.…”

Section: Introductionmentioning

confidence: 99%

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Business Cycles in an Oil Economy: Lessons from Norway

Bergholt¹,

Larsen²

2016

SSRN Journal

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The recent oil price fall has created concern among policy makers regarding the consequences of terms of trade shocks for resource-rich countries. This concern is not a minor one-the world's commodity exporters combined are responsible for 15-20% of global value added. We estimate a two-country New Keynesian model in order to quantify the importance of oil price shocks for Norway-a large, prototype petroleum exporter. Domestic supply chains link mainland (non-oil) Norway to the offshore oil industry, while fiscal authorities accumulate income in a sovereign wealth fund. Oil prices and the international business cycle are jointly determined abroad. These features allow us to disentangle the structural sources of oil price fluctuations, and how they affect mainland Norway. The estimated model provides three important results: First, pass-through from oil prices to the oil exporter implies up to 20% higher business cycle volatility. Second, the majority of spillover effects stem from non-oil disturbances such as innovations in international investment efficiency. Conventional oil market shocks, in contrast, explain at most 10% of the Norwegian business cycle. Third, the prevailing fiscal regime provides substantial protection against external shocks while domestic supply linkages make the oil exporter more exposed. * This working paper should not be reported as representing the views of Norges Bank. The views expressed are those of the authors and do not necessarily reflect those of Norges Bank. We would like to thank Martín Uribe, Jordi Galí and Lars E. O. Svensson for helpful comments and discussions. We are also grateful for valuable input by discussants and participants in seminars and workshops hosted by the Bank for International Settlements, Deutsche Bundesbank, Banque de France, and Norges Bank. This work is part of the Norges Bank project Review of Flexible Inflation Targeting (ReFIT).

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Intermediate Goods and Exchange Rate Disconnect

Craighead

2019

Open Econ Rev

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This paper introduces intermediate goods trade into a two-country real business cycle model and examines its implications for real exchange rate behavior. Intermediate goods trade is shown to reduce "exchange rate disconnect" by increasing the volatility of the real exchange rate relative to output and weakening the link between the real exchange rate and output. Intermediate goods trade also raises international output correlations and reduces the correlation between the trade balance and output. JEL: F41, F31

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Foreign Shocks

Cited by 8 publications

References 43 publications

Business cycles in an oil economy

Business cycles in an oil economy

Business Cycles in an Oil Economy: Lessons from Norway

Intermediate Goods and Exchange Rate Disconnect

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