Asymmetric Non-Commodity Output Responses to Commodity Price Shocks

Amine Mati, Monique Newiak and James Wilson

No 2021/163, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: GDP Response; commodity exporter; terms-of-trade shock; A. commodity exporter; commodity Real GDP; Commodity prices; Commodity price indexes; Commodity price fluctuations; Oil; Global; Central and Eastern Europe; Middle East; North Africa; Central Asia; Caribbean (search for similar items in EconPapers)
Pages: 38
Date: 2021-06-11
New Economics Papers: this item is included in nep-ene and nep-mac
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