{"title":"Commodity terms of trade news and country spreads in emerging economies","authors":"Jia Liu , Ingul Baek , Sanha Noh","doi":"10.1016/j.econlet.2025.112604","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"256 ","pages":"Article 112604"},"PeriodicalIF":1.8000,"publicationDate":"2025-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economics Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0165176525004410","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
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.
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.