 Commodity terms of trade co-movement: Global and regional factorsTian Xia and Hang Zhou Journal of International Money and Finance, 2023, vol. 139, issue C Abstract: In this paper, we estimate a dynamic factor model with stochastic volatility to extract the latent factors that capture the commodity terms of trade co-movement across 93 countries. We decompose each country's commodity terms of trade into a global component and a regional component, depending upon the country is a commodity exporter that primarily exports fuel or non-fuel commodities. We find that the global factor can explain the bulk of terms of trade fluctuations in commodity non-exporters and fuel commodity exporters, while the regional factor is more influential among non-fuel commodity exporters. The global factor is shown to co-move with fluctuations in the global commodity market, as well as with measures of global demand and uncertainty. We further analyze the impact of shocks in factor volatilities on a sample of emerging market economies, demonstrating the different economic consequences of shocks on global and regional factors. Keywords: Terms of trade; Commodity prices; Common factors; Uncertainty (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001456 DOI: 10.1016/j.jimonfin.2023.102944 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.