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TFP growth and commodity prices in emerging economies

Ivan Kataryniuk () and Jaime Martinez-Martin ()

No 1711, Working Papers from Banco de España, Working Papers Homepage

Abstract: In this paper we aim at empirically testing cross-country impacts of commodity price shocks to aggregate TFP growth for a sample of emerging economies. Under a growth accounting framework, we estimate country-specific TFP growth (1992-2014) and select the attendant robust determinants by means of a Bayesian Model Averaging (BMA) approach. To identify the effects of structural shocks, we propose a Bayesian panel VAR model and calculate cyclically adjusted TFP growth net of demand shocks (i.e. output gap) and commodity prices. Our results suggest that: i) the relationship of commodity prices to TFP growth has been very high in small commodity-exporting economies (i.e. an increase of 10% in commodity prices is associated with a sizable expansion of TFP growth in a year for an average commodity exporter); ii) although our evidence is not suf?cient to empirically distinguish among theoretical explanations, our results favour an interpretation that weights short-term effects of commodity prices on productivity, either through transitional dynamics to the manufacturing sector or through mismeasurement of TFP; and iii) cyclically adjusted TFP growth highlights the importance of negative supply shocks in commodity-exporting countries. All in all, much of the increase in TFP growth in the last decade was related to a favourable cyclical environment, a result with potentially significant policy implications for commodity-dependent economies.

Keywords: total factor productivity; commodity prices; Bayesian model averaging; panel VAR. (search for similar items in EconPapers)
JEL-codes: O47 Q02 C11 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eff
Date: 2017-03
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Journal Article: TFP Growth and Commodity Prices in Emerging Economies (2019) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1711

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