Asymmetric Non-Commodity Output Responses to Commodity Price Shocks

By Amine Mati, Monique Newiak, James Wilson

June 11, 2021

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Format: Chicago

Amine Mati, Monique Newiak, and James Wilson. Asymmetric Non-Commodity Output Responses to Commodity Price Shocks, (USA: International Monetary Fund, 2021) accessed December 22, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

This paper focuses on identifying potential asymmetric responses of non-commodity output growth in times of positive and negative commodity terms-of-trade shocks. Using a sample of 27 oil-exporting countries and a panel VAR method, the study finds: 1) the short-and medium-run response of real non-commodity GDP growth is larger for negative shocks than positive shocks; 2) this asymmetry is more pronounced in countries with weak pre-existing fundamentals–high levels of public debt and low levels of international reserves–which also serve to amplify the volatility of the response; 3) the output response to positive shocks is stronger following a sustained period of CTOT increases, while the impact of negative shocks on output are more damaging when they occur after a period of CTOT decline.

Subject: Commodities, Commodity price fluctuations, Commodity price indexes, Commodity prices, Oil, Prices

Keywords: A. commodity exporter, Caribbean, Central and Eastern Europe, Central Asia, Commodity exporter, Commodity price fluctuations, Commodity price indexes, Commodity prices, Commodity Real GDP, GDP Response, Global, Middle East, North Africa, Oil, Terms-of-trade shock

Publication Details

Pages:

38
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2021/163
Stock No:

WPIEA2021163
ISBN:

9781513573359
ISSN:

1018-5941

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