Commodity cycles and financial instability in emerging economies

IF 0.8 Q4 BUSINESS, FINANCE

Annals of Finance Pub Date : 2024-05-22 DOI:10.1007/s10436-024-00443-8

Mikhail Andreev, M. Udara Peiris, Alexander Shirobokov, Dimitrios P. Tsomocos

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Abstract

Commodity-exporting economies display procyclicality with the price of commodity exports. However, the evidence for the relative importance of commodity price shocks for aggregate fluctuations remains inconclusive. Using Russian data from 2001 to 2018 we estimate a small open economy New Keynesian model with a banking system and leveraged domestic firms who default on their unsecured domestic debt. We show that allowing default rates to vary endogenously over the business cycle amplifies the estimated contribution of commodity price shocks. Endogenous default introduces time-varying wedges that amplify the response of commodity price shocks through demand and income effects rather than the relative price effects that are found in the country risk-premium, balance sheet, and financial accelerator channels. We find that the contribution of commodity prices to explaining fluctuations in GDP rises from 2.5 to 33.6% while for deposits and non-performing loans, it increases from 5.3% and 1.6% to 71.3% and 60.4%, respectively.

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新兴经济体的商品周期和金融不稳定性

商品出口经济体显示出商品出口价格的顺周期性。然而，商品价格冲击对总体波动的相对重要性仍无定论。利用俄罗斯 2001 年至 2018 年的数据，我们估算了一个小型开放经济的新凯恩斯主义模型，该模型具有银行系统和对无担保国内债务违约的国内杠杆企业。我们的研究表明，允许违约率在商业周期中内生变化会放大商品价格冲击的估计贡献。内生违约会引入时变楔形效应，通过需求和收入效应放大商品价格冲击的反应，而不是国家风险溢价、资产负债表和金融加速器渠道中的相对价格效应。我们发现，商品价格对国内生产总值波动的解释作用从 2.5%上升到 33.6%，而对存款和不良贷款的解释作用则分别从 5.3%和 1.6%上升到 71.3%和 60.4%。

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来源期刊

Annals of Finance BUSINESS, FINANCE-

CiteScore

2.00

自引率

10.00%

发文量

期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance