The output effects of commodity price volatility: Evidence from exporting countries

Michael Hachula and Sebastian Hoffmann

No 2015/29, Discussion Papers from Free University Berlin, School of Business & Economics

Abstract: Empirical evidence indicates that high oil price volatility has a dampening effect on output in countries that import commodities. Many countries, however, gain important revenues from commodity exports. This paper investigates the output effects of commodity price volatility in commodity exporting countries accounting for both oil and non-oil commodities. To that aim, we construct country specific commodity price indices for a sample of oil and non-oil commodity exporters. We find a significant negative impact of price volatility on real output for oil exporters. Our results for exporters of other commodities, however, suggest that the volatility effect is a peculiar feature of oil and not generalizable to a broad basket of commodities.

Keywords: commodity price uncertainty; commodity exporters; VAR-MGARCH-in-mean (search for similar items in EconPapers)
JEL-codes: C32 O13 Q43 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-agr and nep-int
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fubsbe:201529

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