Commodity terms of trade news and country spreads in emerging economies

IF 1.8 4区 经济学 Q2 ECONOMICS
Jia Liu , Ingul Baek , Sanha Noh
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引用次数: 0

Abstract

This paper examines the dynamic relationship between commodity terms of trade (CTOT) news shocks and country spreads in commodity-exporting emerging economies. Using a VAR model and shock identification approach based on Uhlig (2003), we show that positive CTOT news shocks lead to significant and persistent increases in output, consumption, and investment, accompanied by reductions in country spreads. Our analysis reveals that country spread shocks largely reflect information about future movements in CTOT. Country-specific results highlight heterogeneity, with stronger correlations between these shocks observed in Argentina, Peru, and Colombia compared to Brazil and Chile. Our findings emphasize that financial frictions potentially play a role in propagating CTOT news shocks in commodity-exporting emerging economies.
新兴经济体的商品贸易新闻和国家价差
本文研究了大宗商品出口新兴经济体的商品贸易条件(CTOT)新闻冲击与国家利差之间的动态关系。使用基于Uhlig(2003)的VAR模型和冲击识别方法,我们表明,积极的CTOT新闻冲击导致产出、消费和投资的显著和持续增长,同时伴随着国家利差的减少。我们的分析表明,国家息差冲击在很大程度上反映了CTOT未来走势的信息。具体国家的结果突出了异质性,与巴西和智利相比,阿根廷、秘鲁和哥伦比亚观察到的这些冲击之间的相关性更强。我们的研究结果强调,在大宗商品出口的新兴经济体中,金融摩擦可能在传播CTOT新闻冲击方面发挥作用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Economics Letters
Economics Letters ECONOMICS-
CiteScore
3.20
自引率
5.00%
发文量
348
审稿时长
30 days
期刊介绍: Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.
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